create_marginal_data_gaussian function

Generate marginal Gaussian data using Cholesky decomposition

Given a multivariate Gaussian distribution, this function creates data from specified marginals of said distribution.

create_marginal_data_gaussian(n_MC_samples, Sbar_features, mu, cov_mat)

Arguments

• n_MC_samples: Integer. The number of samples to generate.
• Sbar_features: Vector of integers indicating which marginals to sample from.
• mu: Numeric vector containing the expected values for all features in the multivariate Gaussian distribution.
• cov_mat: Numeric matrix containing the covariance between all features in the multivariate Gaussian distribution.

Author(s)

Lars Henry Berge Olsen