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;
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
Use the built-in RandNormal function:
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