How can I generate random matrices from the multivariate normal distribution using the Statistics Toolbox?

I would like to generate random matrices from the multivariate normal distribution using the Statistics Toolbox.

Answer 1

[MathWorks Support Team]

The function mvnrnd.m allows you to generate random matrices from the multivariate normal distribution. This function is included with Statistics Toolbox 3.0 (R12.1) and later versions.

Following is a quick example illustrating MVNRND:

mu1=.5;mu2=1.4;

var1=.9;var2=.6;

cov_desired=.5;

mean_desired=[mu1 mu2]

cov_matrix_desired=[var1 cov_desired;cov_desired var2]

%[R p]=chol(cov_matrix_desired)

%  The covariance matrix must be positive definite (pd)

%  If p is 0, this is a pd matrix;

%  see Solution 1530

M=mvnrnd(mean_desired,cov_matrix_desired,100000);

actual_mean=mean(M)%Close to mean_desired

actual_cov=cov(M)%  Close to cov_matrix_desired