[R] simulation from a bivariate normal distribution

[Prof Brian D Ripley]

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?)


-- 
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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