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May 23rd, 2018
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  1. my_rmvnorm2<- function(mu = rep(0,ncol(sigma)), sigma = matrix(0,2,2),n)
  2. {
  3.   m<-ncol(sigma)
  4. A<- matrix(nrow=m, ncol= n)
  5. dec<- svd(sigma)
  6. for(i in 1:n){
  7.   A[,i]<- dec$u %*% (rnorm(m)*sqrt(dec$d))+ mu
  8.   }
  9. return(t(A))
  10. }
  11. my_rmvnorm2(sigma= matrix(c(2,0.1,0.1,1),ncol=2),n=1000)
  12. plot(my_rmvnorm2(sigma= matrix(c(2,0.1,0.1,1),ncol=2),n=1000))
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