This function draws from a multivariate normal distribution.

## Usage

rmvnorm(mu, Sigma)

## Arguments

mu

The mean vector of length n.

Sigma

The covariance matrix of dimension n x n.

## Value

A numeric vector of length n.

## Details

The function builds upon the following fact: If $$\epsilon = (\epsilon_1,\dots,\epsilon_n)$$, where each $$\epsilon_i$$ is drawn independently from a standard normal distribution, then $$\mu+L\epsilon$$ is a draw from the multivariate normal distribution $$N(\mu,\Sigma)$$, where $$L$$ is the lower triangular factor of the Choleski decomposition of $$\Sigma$$.

## Examples

mu <- c(0,0)
Sigma <- diag(2)
rmvnorm(mu = mu, Sigma = Sigma)
#>            [,1]
#> [1,] 0.04018181
#> [2,] 0.73337593