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- my_rmvnorm2<- function(mu = rep(0,ncol(sigma)), sigma = matrix(0,2,2),n)
- {
- m<-ncol(sigma)
- A<- matrix(nrow=m, ncol= n)
- dec<- svd(sigma)
- for(i in 1:n){
- A[,i]<- dec$u %*% (rnorm(m)*sqrt(dec$d))+ mu
- }
- return(t(A))
- }
- my_rmvnorm2(sigma= matrix(c(2,0.1,0.1,1),ncol=2),n=1000)
- plot(my_rmvnorm2(sigma= matrix(c(2,0.1,0.1,1),ncol=2),n=1000))
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