R: Multivariate Laplace random values simulation

Multivariate Laplace random values simulation {Rfast} | R Documentation

## Multivariate Laplace random values simulation

### Description

Multivariate Laplace random values simulation.

### Usage

    rmvlaplace(n, lam, mu, G)

### Arguments

`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.

### Details

The algorithm uses univariate normal random values and transforms them to multivariate via a spectral decomposition.

### Value

A matrix with the simulated data.

### Author(s)

Michail Tsagris

R implementation and documentation: Michail Tsagris <mtsagris@yahoo.gr>

### References

Eltoft T., Kim T., and Lee T.W. (2006). On the multivariate laplace distribution. Signal Processing Letters, IEEE, 13(5):300-303.

### See Also

`rmvnorm, racg, rmvt`

### Examples

    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)

[Package Rfast version 2.0.0 Index]