rmnorm {QRMlib}R Documentation

Multivariate Normal Random Sample

Description

generates random sample from multivariate normal

Usage

rmnorm(n, Sigma=equicorr(d, rho), mu=rep(0, d), d=2, rho=0.7)

Arguments

n number of realizations
Sigma a covariance matrix
mu a mean vector
d dimension of distribution
rho correlation value to build equicorrelation matrix

Details

function is set up to quickly simulate equicorrelation structures by specifying d and rho

Value

an n by d matrix

Author(s)

documentation by Scott Ulman for R-language distribution

See Also

rmt, equicorr

Examples

Sigma <- diag(c(3,4,5)) %*% equicorr(3,0.6) %*% diag(c(3,4,5)); 
mu <- c(1,2,3); 
ndata <- rmnorm(1000,Sigma,mu);
fit.norm(ndata);

[Package QRMlib version 1.4.4 Index]