[R] Generating MVN Data

[Robin Hankin]

Hi

give rmvnorm() any symmetric positive definite matrix and it should  
work:



 > rmvnorm(n=10,mean=1:2,sigma=matrix(c(1,0.5,0.5,1),2,2))
          [,1]   [,2]
[1,] -0.1118  2.514
[2,]  1.8667  1.628
[3,]  3.2477  2.263
[4,]  1.0166  2.381
[5,] -0.0888 -0.132
[6,] -0.9249  0.610
[7,]  1.5046  3.578
[8,]  0.8530  0.802
[9,]  2.2940  2.240
[10,]  1.1660  2.528
 >



HTH

rksh


On 13 Feb 2007, at 14:14, Rauf Ahmad wrote:

> Dear All
>
> I want to generate multivariate normal data in R for a given  
> covariance
> matrix, i.e. my generated data must have the given covariance  
> matrix. I
> know the rmvnorm command is to be used but may be I am failing to
> properly assign the covariance matrix.
>
> Any help will be greatly appreciated
>
> thanks.
>
> M. R. Ahmad
>
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> and provide commented, minimal, self-contained, reproducible code.

--
Robin Hankin
Uncertainty Analyst
National Oceanography Centre, Southampton
European Way, Southampton SO14 3ZH, UK
  tel  023-8059-7743