rmvnorm_cpp {oeli}R Documentation

Draw from multivariate normal distribution

Description

This function draws from a multivariate normal distribution.

Usage

rmvnorm_cpp(mean, Sigma, log = FALSE)

Arguments

mean

A numeric, the mean vector of length p.

Sigma

A matrix, the covariance matrix of dimension p x p.

log

A logical, if TRUE the draw is taken from the log-normal distribution. By default, log = FALSE.

Details

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

This function performs no input checks. See rmvnorm for the version with input checks.

Value

A column vector of length p, the random draw.


[Package oeli version 0.5.2 Index]