[R] simulation from a bivariate normal distribution

[Prof Brian D Ripley]

On 5 Apr 2000, Peter Dalgaard BSA wrote:

> Prof Brian D Ripley <ripley at stats.ox.ac.uk> writes:
> 
> > On Wed, 5 Apr 2000, Joaquim Ramalho wrote:
> > 
> > > Hi,
> > > 
> > > I need to generate two normal variables with covariance matrix:
> > > 
> > > 0.25,    0.20
> > > 0.20,    0.25
> > > 
> > > but I have no idea how to do that.
> > 
> > mvrnorm in package MASS (part of the VR bundle).
> > 
> > mvrnorm(2, c(0,0), matrix(c(0.25, 0.20, 0.20, 0.25), 2,2))
> > 
> > seems what you want (mean 0?)
> 
> ... and a less general solution for this particular case would be
> 
> rnorm(1,sd=sqrt(0.20)) + rnorm(2,sd=sqrt(0.05))

Just to clarify. Peter has given you a rule for one pair. I gave you a rule
for two pairs, which is how I read the request.  The first arg to
mvrnorm is the number of multivariate normals.


-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272860 (secr)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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