Mvnorm {mvtnorm} | R Documentation |
These functions provide the density function and a random number
generator for the multivariate normal
distribution with mean equal to mean
and covariance matrix
sigma
.
dmvnorm(x, mean, sigma, log=FALSE) rmvnorm(n, mean = rep(0, nrow(sigma)), sigma = diag(length(mean)), method=c("eigen", "svd", "chol"), pre0.9_9994 = FALSE)
x |
Vector or matrix of quantiles. If |
n |
Number of observations. |
mean |
Mean vector, default is |
sigma |
Covariance matrix, default is |
log |
Logical; if |
method |
Matrix decomposition used to determine the matrix root of
|
pre0.9_9994 |
Logical; if |
Friedrich Leisch and Fabian Scheipl
dmvnorm(x=c(0,0)) dmvnorm(x=c(0,0), mean=c(1,1)) sigma <- matrix(c(4,2,2,3), ncol=2) x <- rmvnorm(n=500, mean=c(1,2), sigma=sigma) colMeans(x) var(x) x <- rmvnorm(n=500, mean=c(1,2), sigma=sigma, method="chol") colMeans(x) var(x) plot(x)