Statistics Toolbox

mvnrnd

Random matrices from the multivariate normal distribution

Syntax

• R = mvnrnd(MU,SIGMA)
  R = mvnrnd(MU,SIGMA,cases)
  

Description

R = mvnrnd(MU,SIGMA) returns an n-by-d matrix R of random vectors chosen from the multivariate normal distribution with mean MU, and covariance SIGMA. MU is an n-by-d matrix, and mvnrnd generates each row of R using the corresponding row of MU. SIGMA is a d-by-d symmetric positive semi-definite matrix, or a d-by-d-by-n array. If SIGMA is an array, mvnrnd generates each row of R using the corresponding page of SIGMA, i.e., mvnrnd computes R(i,:) using MU(i,:) and SIGMA(:,:,i). If MU is a 1-by-d vector, mvnrnd replicates it to match the trailing dimension of SIGMA.

r = mvnrnd(MU,SIGMA,cases) returns a cases-by-d matrix R of random vectors chosen from the multivariate normal distribution with a common 1-by-d mean vector MU, and a common d-by-d covariance matrix SIGMA.

Example

• mu = [2 3];
  sigma = [1 1.5; 1.5 3];
  r = mvnrnd(mu,sigma,100);
  plot(r(:,1),r(:,2),'+')
  
  
  

See Also

lhsnorm, mvnpdf, normrnd

mvnpdf

mvtrnd