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