mvnrnd (Statistics Toolbox)

Random matrices from the multivariate normal distribution.

Syntax

r = mvnrnd(mu,SIGMA,cases)

Description

r = mvnrnd(mu,SIGMA,cases) returns a matrix of random numbers chosen from the multivariate normal distribution with mean vector, mu, and covariance matrix, SIGMA. cases is the number of rows in r.

SIGMA is a symmetric positive definite matrix with size equal to the length of mu.

Example

mu = [2 3];
sigma = [1 1.5; 1.5 3];
r = mvnrnd(mu,sigma,100);
plot(r(:,1),r(:,2),'+')