R: mvtnorm package

R: mvtnorm package

used to simlulate data from a bivariate or more generally, a multivariate normal distribution

# 10 observations from a bivariate standard normal distrtibution
set.seed(123) 
rmvnorm(10, mean = c(0, 0), sigma = diag(2))

mu_x = 0.05
mu_y = 0.025
sig_x = 0.10
sig_y = 0.05
rho_xy = 0.9
sig_xy = rho_xy*sig_x*sig_y
Sigma_xy = matrix(c(sig_x^2, sig_xy, sig_xy, sig_y^2), 2, 2, byrow=TRUE)
xy_vals = rmvnorm(100,mean=c(mu_x,mu_y),sigma=Sigma_xy)
#pch to specify a plot symbol, cex for the symbol size, col to set the color, add a title #with main, or set axis labels with xlab and ylab
plot(xy_vals,pch=16,cex=2,col="blue",main="Bivariate normal: rho=0.9",xlab="x",ylab='y')
abline(h=mu_y,v=mu_x)
#查看某个函数的参数
args(pmvnorm)
segments(x0 = 0, y0 = -1e+10, x1 = 0, y1 = 0, col = "red")
segments(x0 = -1e+10, y0 = 0, x1 = 0, y1 = 0, col = "red")
#计算联合分布的概率
pmvnorm(lower=c(-Inf,-Inf),upper=c(0,0),mean=c(mu_x,mu_y),sigma=Sigma_xy)

 

转载于:https://www.cnblogs.com/hanyprin/p/3592983.html