norm_rnd.m

计量工具箱

function y = norm_rnd(sig);
% PURPOSE: random multivariate random vector based on
%          var-cov matrix sig
%---------------------------------------------------
% USAGE:   y = norm_rnd(sig)
% where:   sig = a square-symmetric covariance matrix 
% NOTE: for mean b, var-cov sig use: b +  norm_rnd(sig) 
%---------------------------------------------------      
% RETURNS: y = random vector normal draw mean 0, var-cov(sig)
%---------------------------------------------------

% written by:
% James P. LeSage, Dept of Economics
% University of Toledo
% 2801 W. Bancroft St,
% Toledo, OH 43606
% [e-mail]

if nargin ~= 1
error('Wrong # of arguments to norm_rnd');
end;

h = chol(sig);
[nrow, ncol] = size(sig);
x = randn(nrow,1);
y = h'*x;