Simulate from a Multivariate Normal Distribution

Simulate from a multiviate normal distribution

Usage

rmvnorm(n, mu=NULL, sigma=NULL)

Arguments

n

Number of vectors to simulate

mu

mean vector

sigma

covariance matrix, assumed symmetric and nonnegative definite

Value

An \(n \times d\) matrix in which each row is an independently generated realization from the desired multivariate normal distribution

Details

This function uses an eigen decomposition assuming sigma is symmetric. In particular, the upper triangle of sigma is ignored.

See also

eigen, dnorm, dmvnorm