rmvnorm function

Simulation from a multivariate normal distribution

Simulates a matrix where the rows are i.i.d. samples from a multivariate normal distribution

rmvnorm(n, mu, Sigma, Sigma.chol = chol(Sigma))

Arguments

• n: sample size
• mu: multivariate mean vector
• Sigma: covariance matrix
• Sigma.chol: Cholesky factorization of Sigma

Returns

a matrix with n rows

Author(s)

Peter Hoff