rmvnorm function

Draw from multivariate normal distribution

This function draws from a multivariate normal distribution.

rmvnorm(mu, Sigma)

Arguments

• mu: The mean vector of length n.
• Sigma: The covariance matrix of dimension n x n.

Returns

A numeric vector of length n.

Details

The function builds upon the following fact: If $\epsilon = (\epsilon_1,\dots,\epsilon_n)$, where each $\epsilon_i$ is drawn independently from a standard normal distribution, then $\mu+L\epsilon$ is a draw from the multivariate normal distribution $N(\mu,\Sigma)$, where $L$ is the lower triangular factor of the Choleski decomposition of $\Sigma$.

Examples

mu <- c(0,0)
Sigma <- diag(2)
rmvnorm(mu = mu, Sigma = Sigma)