[R] Generating MVN Data

[Chuck Cleland]

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

library(MASS)

mat <- mvrnorm(100, mu=rep(0,4), Sigma = diag(4), empirical=TRUE)

cov(mat)
              [,1]          [,2]          [,3]          [,4]
[1,]  1.000000e+00 -1.634448e-16 -1.004223e-16 -2.015521e-16
[2,] -1.634448e-16  1.000000e+00  4.244391e-17  1.544399e-17
[3,] -1.004223e-16  4.244391e-17  1.000000e+00 -1.921951e-16
[4,] -2.015521e-16  1.544399e-17 -1.921951e-16  1.000000e+00

?mvrnorm

> thanks.
> 
> M. R. Ahmad
> 
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Chuck Cleland, Ph.D.
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