| To: | S-News <s-news@lists.biostat.wustl.edu> |
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| Subject: | Multivariate Normal Samples with Correlation among Rows |
| From: | Paul Lasky <phlasky@earthlink.net> |
| Date: | Mon, 21 Aug 2006 13:27:52 -0700 |
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I have a n X m matrix M that is positive definite ( positive det of
the associated covar matrix). The columns index subjects and rows are
index time. I wish to random sample from the matrix assuming a
multivariate normal model, BUT I wish to take into account the time
correlation, i.e. cor( t ( M ) ).
How do I do this, or is it even possible ? I know that ns random vectors are available from a standard-type multivariate normal model by rmvnorm( ns, colMeans( M ), var( M ) ) Paul H. Lasky P & B Consultants -- No virus found in this outgoing message. Checked by AVG Free Edition. Version: 7.1.394 / Virus Database: 268.11.3/423 - Release Date: 8/18/2006 |
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