This was indeed very helpful - thanks a lot ! :-))
On 4 February 2012 14:56, Ranjan Maitra <mai...@iastate.edu> wrote: > 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. > [[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.
