Re: [NMusers] S-plus multivariate normal distribution

Nick - Here is an adapted snippet of some code I have used recently.
Implementation of multivariate normals is pretty easy in S+, but it can be
an annoying pain in the tuckus to take the lower half of the covariance
matrix from NONMEM and create the symmetrical matrix that S is expecting
(especially when you have a big matrix). There is some code, admittedly
awkward, that will take NONMEM's half matrix (prettied up with some
commas) and create a symmetrical matrix. In this case I am using a
correlation matrix, but you'll get the idea.

Regards, Jeff

nsim<-100

### A correlation matrix
a<-c(1.00,
         0.81,1.00,
         0.32,0.21,1.00)

a<-matrix(a, ncol=1, byrow=T)

ndim <- 3
sel<-0
# Will make symetric matrix from the lower triangle called b
b<-matrix(0,ncol=ndim,nrow=ndim)
for (i in seq(ndim)) {
  for (j in seq(i)) {
    sel <- sel+1
    b[i,j]<-a[sel]}}
for (i in seq(ndim-1)) {
  for (j in seq(ndim-i)) {
    sel <- j+i
    b[i,sel]<-b[sel,i]}}

stuff<-rmvnorm(nsim, mean=c(0,0,0), cov=b, sd=c(0.15, 0.30,0.5))

# make a plot
splom(~stuff)

#-##-##-##-##-##-##-##-##-##-##-##-##-##-##-##-###-#






"Nick Holford" <n.holford_at_auckland.ac.nz>
Sent by: owner-nmusers_at_globomaxnm.com
13-Sep-2007 06:30
 
To
"nmusers" <nmusers_at_globomaxnm.com>
cc

Subject
[NMusers] S-plus multivariate normal distribution






Hi,

Can someone give me some clues on how to sample from a multivariate normal
distribution using S-plus?

Some working code examples would be very helpful.

Thanks,

Nick

--
Nick Holford, Dept Pharmacology & Clinical Pharmacology
University of Auckland, 85 Park Rd, Private Bag 92019, Auckland, New
Zealand
n.holford_at_auckland.ac.nz tel:+64(9)373-7599x86730 fax:+64(9)373-7090
www.health.auckland.ac.nz/pharmacology/staff/nholford




Received on Thu Sep 13 2007 - 09:39:40 EDT