[R-sig-Finance] calling rmvnorm from C ?
bennfine at yahoo.com
Tue Jul 25 17:16:13 CEST 2006
Writing an asset allocation simulation in C callable
from R and want to be able to generate random vectors
from a multivariate normal distribution.
Can I call the rmvnorm() function from within my C
program ? I realize I could just use BLAS and do the
Cholesky factorization and then the matrix multiply,
but I am already too worried about using C from within
R to add additional code.
Any code fragments showing how to call rmvnorm() from
a C program called from R would be most appreciated.
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