2008-09-10 10:41:53 +02:00
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function draw = rand_multivariate_normal(Mean,Sigma_upper_chol,n)
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% Pseudo random draws from a multivariate normal distribution,
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% \mathcal N_n(Mean,Sigma), with expectation Mean and variance Sigma.
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%
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% INPUTS
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%
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% Mean [double] 1*n vector, expectation of the multivariate random variable.
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% Sigma_upper_chol [double] n*n matrix, upper triangular Cholesky decomposition of Sigma (the covariance matrix).
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% n [integer] dimension.
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%
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% OUTPUTS
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% draw [double] 1*n vector drawn from a multivariate normal distribution with expectation Mean and
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% covariance Sigma
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%
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% SPECIAL REQUIREMENTS
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2011-02-04 17:27:33 +01:00
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% Copyright (C) 2003-2009 Dynare Team
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2008-09-10 10:41:53 +02:00
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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2009-12-16 18:17:34 +01:00
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draw = Mean + randn(1,n) * Sigma_upper_chol;
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