I think this should be easy to write a function doing this. Assume that Y is matrix normal with mean matrix mu and row and column dispersion matrices Sigma and Gamma, respectively.
Isn't Y = AZB + mu, where Z is a matrix of independent N(0, 1)'s, A is the square root matrix of Sigma (the dispersion matrix of the rows) and B is the square root matrix of Gamma. It should be easy to write this function in R. Again, the density should be easy to write. But it is not clear what you mean by a quantile function (of a matrix variate distribution). A cdf is going to be a lot harder, but still doable. Hope this helps! best wishes, Ranjan On Sat, 4 Feb 2012 00:57:45 +0100 Shantanu MULLICK <b00295...@essec.edu> wrote: > Hello everyone > > Is there a function/command to simulate from "matrix variate normal > distribution" in R. > > A follow up question would be is there a function/command to obtain the > density, distribution and quantile function of "matrix variate normal > distribution" in R. > > Wikipedia has a good description of "matrix variate normal distribution" > which is also alternatively called "matrix normal distribution". > > Thanks a lot ! > > Best > Shantanu > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
