Draws from \(N(\mu, \Sigma)\) using the symmetric eigen
decomposition, matching MASS::mvrnorm exactly – including its
RNG consumption (rnorm(p * n) in the same order), so under a
common seed the draws are identical.
Usage
morie_mvrnorm(n = 1, mu, Sigma, tol = 1e-06, empirical = FALSE)
Arguments
- n
Number of samples.
- mu
Mean vector (length p).
- Sigma
p x p covariance matrix.
- tol
Tolerance for the positive-definiteness check.
- empirical
If TRUE, force the sample mean/covariance to match
mu/Sigma exactly (as in MASS).
Value
A length-p vector when n == 1, else an n x p
matrix.
References
Venables, W. N., & Ripley, B. D. (2002). Modern
Applied Statistics with S. Springer.
Examples
set.seed(1)
morie_mvrnorm(3, mu = c(0, 0), Sigma = diag(2))
#> [,1] [,2]
#> [1,] -1.5952808 -0.6264538
#> [2,] -0.3295078 0.1836433
#> [3,] 0.8204684 -0.8356286
