Multivariate normal random draws.
Syntax: @rmvnorm(S, n)
@rmvnormc(S, n)
@rmvnormi(S, n)
@rmvnormic(S, n)
S: sym, matrix
n: integer,
Return: matrix
Draw random multivariate normals using the
density function.
The multivariate normal density is given by
There are four different forms of the function, corresponding to different ways of specifying
. The forms are distinguished by different suffixes that are applied to the base “@rmvnorm” command and how they change the interpretation of the
S matrix argument:
@rmvnorm | “” | Supply  . |
@rmvnormc | “c” | Supply the Cholesky decomposition of  . This form is more efficient when performing multiple draws from the same distribution (compute the Cholesky once, but sample many times). |
@rmvnormi | “i” | Supply  . This form is more efficient than explicitly inverting  to supply  . |
@rmvnormic | “ic” | Supply the Cholesky decomposition of  . This form combines the efficiencies of the Cholesky and inverse forms. |
If the optional argument n is omitted, the function returns a vector containing a single draw from the distribution. If n is provided, n is the number of rows of the returned matrix, with each row representing a draw from the distribution.
Examples
sym a = @inner(@mnrnd(100, 10))
matrix x = @rmvnorm(a, 500)
x = @rmvnormc(@cholesky(a))
x = @rmvnormi(@inverse(a))
x = @rmvnormic(@cholesky(@inverse(a))
Cross-references
See also
rmvnorm,
@mnrnd,
nrnd, and
rnd.
