[R] Generating MVN Data

[Dimitris Rizopoulos]

you probably want to use mvrnorm() from package MASS, e.g.,

library(MASS)
mu <- c(-3, 0, 3)
Sigma <- rbind(c(5,3,2), c(3,4,1), c(2,1,3))
x <- mvrnorm(1000, mu, Sigma, empirical = TRUE)

colMeans(x)
var(x)


I hope it helps.

Best,
Dimitris

----
Dimitris Rizopoulos
Ph.D. Student
Biostatistical Centre
School of Public Health
Catholic University of Leuven

Address: Kapucijnenvoer 35, Leuven, Belgium
Tel: +32/(0)16/336899
Fax: +32/(0)16/337015
Web: http://med.kuleuven.be/biostat/
     http://www.student.kuleuven.be/~m0390867/dimitris.htm


----- Original Message ----- 
From: "Rauf Ahmad" <rahmad at gwdg.de>
To: <r-help at stat.math.ethz.ch>
Sent: Tuesday, February 13, 2007 3:14 PM
Subject: [R] Generating MVN Data


> 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.
> 


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