R Graphical Manual

Last data update: 2014.03.03

R: Multivariate Normal distribution sampler

mvrnorm

R Documentation

Multivariate Normal distribution sampler

Sampler derived using the eigendecomposition of the covariance matrix Sigma. The function uses the Armadillo random normal generator

mvrnorm(n, mu, Sigma)

`n`	sample size
`mu`	mean vector. Will set the dimension
`Sigma`	a square covariance matrix, of same dimension as `mu`. No sanity check is performed to validate that the matrix is p.s.d., so use at own risk

an n sample from a multivariate Normal distribution

mvrnorm(n=10, mu=c(0,2), Sigma=diag(2))