> mat <- matrix(rnorm(n*p),ncol=p) %*% chol(SIG)
where n is the number of observations and SIG is p x p.
If you want a mean of MU:
> mat <- t(t(mat) + MU)
Best regards,
Georges Monette
>
> Do anybody know how to generate multivariate normal data from the
> correlation matrix?
> Is there any standard Splus program can do it?
> Thank you for any comment.
>
> David Wang
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