function draw = rand_multivariate_normal(Mean,Sigma_upper_chol,n) % Pseudo random draws from a multivariate normal distribution, % \mathcal N_n(Mean,Sigma), with expectation Mean and variance Sigma. % % INPUTS % % Mean [double] 1*n vector, expectation of the multivariate random variable. % Sigma_upper_chol [double] n*n matrix, upper triangular Cholesky decomposition of Sigma (the covariance matrix). % n [integer] dimension. % % OUTPUTS % draw [double] 1*n vector drawn from a multivariate normal distribution with expectation Mean and % covariance Sigma % % SPECIAL REQUIREMENTS % % part of DYNARE, copyright Dynare Team (2003-2008) % Gnu Public License. draw = Mean + randn(1,n) * Sigma_upper_chol;