Topic: Utilities
Topic Description:
Basic R utilities used in many packages and functions, such as date and string manipulations, statistical distributions, geometry of lines and distances. The R package date is required for the two data functions.
File: utilities/distributions.r
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Function: mvrnormRC
Function Description: mvrnormRC
Function that takes a variance-covariance matrix and produces normal variates following it, but with means 0. The R function mvrnorm does this too; this was a test of the algorithm from Tommaso Zillio. Sigma must be square. N is the number to draw.Function Arguments:
| Argument | Default Value |
|---|---|
| N | |
| Sigma |
Function Source:
mvrnormRC=function(N,Sigma)
{
dimension=dim(Sigma)[1]
SVD=svd(Sigma)
M = SVD$u %*% diag(sqrt(SVD$d))
norm=x=matrix(nrow=N,ncol=dimension)
for(i in 1:N) norm[i,]=rnorm(dimension)
for(i in 1:N) x[i,] = t(M %*% norm[i,])
return(x)
}
{
dimension=dim(Sigma)[1]
SVD=svd(Sigma)
M = SVD$u %*% diag(sqrt(SVD$d))
norm=x=matrix(nrow=N,ncol=dimension)
for(i in 1:N) norm[i,]=rnorm(dimension)
for(i in 1:N) x[i,] = t(M %*% norm[i,])
return(x)
}