35 lines
1.4 KiB
Matlab
35 lines
1.4 KiB
Matlab
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
|
|
|
|
% Copyright © 2003-2017 Dynare Team
|
|
%
|
|
% This file is part of Dynare.
|
|
%
|
|
% Dynare is free software: you can redistribute it and/or modify
|
|
% it under the terms of the GNU General Public License as published by
|
|
% the Free Software Foundation, either version 3 of the License, or
|
|
% (at your option) any later version.
|
|
%
|
|
% Dynare is distributed in the hope that it will be useful,
|
|
% but WITHOUT ANY WARRANTY; without even the implied warranty of
|
|
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
|
% GNU General Public License for more details.
|
|
%
|
|
% You should have received a copy of the GNU General Public License
|
|
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
|
|
|
|
draw = Mean + randn(1,n) * Sigma_upper_chol;
|