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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1631 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
assia 2008-01-21 16:15:02 +00:00
parent 9152bbbc48
commit 60fdc08e2d
1 changed files with 22 additions and 17 deletions
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39
matlab/rand_matrix_normal.m
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@ -1,23 +1,28 @@
function B = rand_matrix_normal(n, p, M, Omega_lower_chol, Sigma_lower_chol)
% rand_matrix_normal Pseudo random matrices drawn from a
% matrix-normal distribution
%
% B = rand_matrix_normal(n, p, M, Omega_lower_chol, Sigma_lower_chol)
%
% Returns an n-by-p matrix drawn from a Matrix-normal distribution
%
% B ~ MN_n*p(M, Omega, Sigma)
%
% function B = rand_matrix_normal(n, p, M, Omega_lower_chol, Sigma_lower_chol)
% Pseudo random matrices drawn from a matrix-normal distribution
% B ~ MN_n*p(M, Omega, Sigma)
% Equivalent to vec(B) ~ N(vec(Mu), kron(Omega, Sigma))
%
% Same notations than: http://en.wikipedia.org/wiki/Matrix_normal_distribution
%
% M is the mean, n-by-p matrix
% Omega_lower_chol is p-by-p, lower Cholesky decomposition of Omega
% (Omega_lower_chol = chol(Omega, 'lower'))
% Sigma_lower_chol is n-by-n, lower Cholesky decomposition of Sigma
% (Sigma_lower_chol = chol(Sigma, 'lower'))
% INPUTS
% n: row
% p: column
% M: (n*p) matrix, mean
% Omega_lower_chol: (p*p), lower Cholesky decomposition of Omega,
% (Omega_lower_chol = chol(Omega, 'lower'))
% Sigma_lower_chol: (n*n), lower Cholesky decomposition of Sigma,
% (Sigma_lower_chol = chol(Sigma, 'lower'))
%
% OUTPUTS
% B: (n*p) matrix drawn from a Matrix-normal distribution
%
% SPECIAL REQUIREMENTS
% Same notations than: http://en.wikipedia.org/wiki/Matrix_normal_distribution
%
% part of DYNARE, copyright Dynare Team (2003-2008)
% Gnu Public License.
B1 = randn(n * p, 1);
B2 = kron(Omega_lower_chol, Sigma_lower_chol) * B1;
B3 = reshape(B2, n, p);