rags2ridges: rmvnormal – R documentation

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rmvnormal

Multivariate Gaussian simulation

Fast simulation from multivariate Gaussian probability distribution.

rmvnormal(n, mu, sigma)

`n`	An `integer` giving the number of observations to be simulated.
`mu`	A `numeric` vector of dimension p giving the means of normal distribution.
`sigma`	A variance-covariance `matrix` of dimension p times p.

The rmvnormal function is copied from the GMCM-package. It is similar to rmvnorm from the mvtnorm-package.

Returns a n by p matrix of observations from a multivariate normal distribution with the given mean mu and covariance

Anders Ellern Bilgrau

rmvnormal(n = 10, mu = 1:4, sigma = diag(4))

Ridge Estimation of Precision Matrices from High-Dimensional Data

v2.2.4

GPL (>= 2)

Authors

Carel F.W. Peeters [cre, aut], Anders Ellern Bilgrau [aut], Wessel N. van Wieringen [aut]

Initial release