R: Draw from a Multivariate Normal

rmvnorm {stm} | R Documentation

## Draw from a Multivariate Normal

### Description

A basic function for doing multivariate normal simulations via the cholesky decomposition of the covariance matrix. Function is based on one by Peter Hoff.

### Usage

    rmvnorm(n, mu, Sigma, chol.Sigma = chol(Sigma))

### Arguments

`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.

### Details

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.

[Package stm version 1.3.6 Index]