This was indeed very helpful - thanks a lot ! :-))


On 4 February 2012 14:56, Ranjan Maitra <maitra@iastate.edu> wrote:

> I think this should be easy to write a function doing this.
>
> Assume that Y is matrix normal with mean matrix mu and row and column
> dispersion matrices Sigma and Gamma, respectively.
>
> Isn't Y = AZB + mu, where Z is a matrix of independent N(0, 1)'s, A is
> the square root matrix of Sigma (the dispersion matrix of the rows) and
> B is the square root matrix of Gamma. It should be easy to write this
> function in R.
>
> Again, the density should be easy to write. But it is not clear what
> you mean by a quantile function (of a matrix variate distribution). A
> cdf is going to be a lot harder, but still doable.
>
> Hope this helps!
>
> best wishes,
> Ranjan
>
>
>
>
>
> On Sat, 4 Feb 2012 00:57:45 +0100 Shantanu MULLICK
> <b00295766@essec.edu> wrote:
>
> > Hello everyone
> >
> > Is there a function/command to simulate from "matrix variate normal
> > distribution" in R.
> >
> > A follow up question would be is there a function/command to obtain the
> > density, distribution and quantile function of "matrix variate normal
> > distribution" in R.
> >
> > Wikipedia has a good description of "matrix variate normal distribution"
> > which is also alternatively called "matrix normal distribution".
> >
> > Thanks a lot !
> >
> > Best
> > Shantanu
> >
> >       [[alternative HTML version deleted]]
> >
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> > and provide commented, minimal, self-contained, reproducible code.
> >
>
> ______________________________________________
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>

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