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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)

AUTHOR

Eric Dubois 2002

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