19 lines
828 B
Matlab
19 lines
828 B
Matlab
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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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%
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% part of DYNARE, copyright Dynare Team (2003-2008)
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% Gnu Public License.
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draw = Mean + randn(1,n) * Sigma_upper_chol;
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