44 lines
1.7 KiB
Matlab
44 lines
1.7 KiB
Matlab
function B = rand_matrix_normal(n, p, M, Omega_lower_chol, Sigma_lower_chol)
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% function B = rand_matrix_normal(n, p, M, Omega_lower_chol, Sigma_lower_chol)
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% Pseudo random matrices drawn from a matrix-normal distribution
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% B ~ MN_n*p(M, Omega, Sigma)
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% Equivalent to vec(B) ~ N(vec(Mu), kron(Omega, Sigma))
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%
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% INPUTS
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% n: row
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% p: column
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% M: (n*p) matrix, mean
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% Omega_lower_chol: (p*p), lower Cholesky decomposition of Omega,
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% (Omega_lower_chol = chol(Omega, 'lower'))
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% Sigma_lower_chol: (n*n), lower Cholesky decomposition of Sigma,
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% (Sigma_lower_chol = chol(Sigma, 'lower'))
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%
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% OUTPUTS
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% B: (n*p) matrix drawn from a Matrix-normal distribution
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%
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% SPECIAL REQUIREMENTS
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% Same notations than: http://en.wikipedia.org/wiki/Matrix_normal_distribution
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% Copyright © 2003-2017 Dynare Team
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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 <https://www.gnu.org/licenses/>.
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B1 = randn(n * p, 1);
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B2 = kron(Omega_lower_chol, Sigma_lower_chol) * B1;
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B3 = reshape(B2, n, p);
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B = B3 + M;
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