Simulation from a multivariate normal distribution

Source: R/rmvnorm.R

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

Value

a matrix with n rows

Author

Peter Hoff