generates multivariate normal random series
- CALL VNORMAL( series, mu, sigma, n <, seed>);
The inputs to the VNORMAL subroutine are as follows:
- specifies a k ×1 (or 1 ×k) mean vector.
By default, mu is a zero vector.
- specifies a k ×k symmetric positive-definite covariance matrix.
By default, sigma is an identity matrix with dimension k.
You must specify either mu or sigma.
- specifies the length of the series. By default, n=100.
- specifies the random number seed.
If it is not supplied, the system clock is used to generate the seed.
If it is negative, then the absolute value is used as the starting
seed; otherwise, subsequent calls ignore the value of seed
and use the last seed generated internally.
The VNORMAL subroutine returns the following value:
- refers an n×k matrices the generated normal random series.
To generate a bivariate space (k=2) normal random series with mean and covariance matrix , where
you can specify
call vnormal(et, mu, sigma, 100);
Copyright © 1999 by SAS Institute Inc., Cary, NC, USA. All rights reserved.