Simulation from a multivariate normal distribution

[JennyQLi]

I'm trying to simulate data from a multivariate normal distribution with mean=MU and variance=MVNCOV:

For example, if we want to run 1000 simulations from a multivariate normal with MU={6.3 1.8 3.7} and

MVNCOV={2, 3, 1,

                 3, 8, 5,

                 1, 5, 4}

Are the following codes correct? Thanks!

proc iml;

  nobs=1000;

  MU={6.3 1.8 3.7);

  MVNCOV={2 3 1,

                   3 8 5,

                   1 5 4};

  MVS=ROOT(MVNCOV);

  RandSeed=floor(RANUNI(round(time(),16.0))*10000000); /* simulate random seed from system time */

  x=J(nobs,1,1)*MU + NORMAL(J(nobs,3,RandSeed))*MVS;

  create _simparm0_ from x(| COLNAME={P1 P2 P3} |); append from x;

quit;

run;

[PGStats]

I can't help you with proc IML. But you might want to look at proc SIMNORMAL. Its sole purpose is the generation of correlated normal random numbers.

PG

[Rick_SAS]

Use the built-in RandNormal function:

http://support.sas.com/documentation/cdl/en/imlug/65547/HTML/default/viewer.htm#imlug_modlib_sect022...