Multivariate Laplace random values simulation
Multivariate Laplace random values simulation.
rmvlaplace(n, lam, mu, G)
n |
The sample size, a numerical value. |
lam |
The the parameter of the exponential distribution, a positive number. |
mu |
The mean vector. |
G |
A d \times d covariance matrix with determinant 1. |
The algorithm uses univariate normal random values and transforms them to multivariate via a spectral decomposition.
A matrix with the simulated data.
Michail Tsagris
R implementation and documentation: Michail Tsagris <mtsagris@yahoo.gr>
Eltoft T., Kim T., and Lee T.W. (2006). On the multivariate laplace distribution. Signal Processing Letters, IEEE, 13(5):300-303.
m <- colmeans( as.matrix( iris[, 1:4] ) ) s <- cov(iris[,1:4]) s <- s / det(s)^0.25 lam <- 3 x <- rmvlaplace(100, lam, m, s)
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