Name
norm_rnd — normal random draws
CALLING SEQUENCE
[y]=norm_rnd(sig)
PARAMETERS
- Input
sig = a square-symmetric covariance matrix
n= # of vectors drawn
- Output
y = (nxm) matrix composed of n (1xm) random vector normal draws with mean 0, var-cov(sig)
DESCRIPTION
Produces a random multivariate random vector based on (mxm) var-cov matrix sig.
NOTE: for mean b, var-cov sig use: b + norm_rnd(sig)
EXAMPLE
x=norm_rnd([1 0.5 ;0.5 2],1000)