Draw from a Multivariate Normal
A basic function for doing multivariate normal simulations via the cholesky decomposition of the covariance matrix. Function is based on one by Peter Hoff.
rmvnorm(n, mu, Sigma, chol.Sigma = chol(Sigma))
n |
number of draws |
mu |
the K-dimensional mean |
Sigma |
the K by K dimensional positive definite covariance matrix |
chol.Sigma |
the cholesky decomposition of the Sigma matrix. |
This is a pretty standard multivariate normal generator. It could almost certainly be faster if we ported it over to RcppArmadillo but it isn't used a ton at the moment.
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