R help - Feb 2012 - Simulating from "matrix variate normal distribution"

Hello everyone

Is there a function/command to simulate from "matrix variate normal
distribution" in R.

A follow up question would be is there a function/command to obtain the
density, distribution and quantile function of "matrix variate normal
distribution" in R.

Wikipedia has a good description of "matrix variate normal
distribution"
which is also alternatively called "matrix normal distribution".

Thanks a lot !

Best
Shantanu

	[[alternative HTML version deleted]]

I think this should be easy to write a function doing this.

Assume that Y is matrix normal with mean matrix mu and row and column
dispersion matrices Sigma and Gamma, respectively.

Isn't Y = AZB + mu, where Z is a matrix of independent N(0, 1)'s, A is
the square root matrix of Sigma (the dispersion matrix of the rows) and
B is the square root matrix of Gamma. It should be easy to write this
function in R.

Again, the density should be easy to write. But it is not clear what
you mean by a quantile function (of a matrix variate distribution). A
cdf is going to be a lot harder, but still doable.

Hope this helps!

best wishes,
Ranjan





On Sat, 4 Feb 2012 00:57:45 +0100 Shantanu MULLICK
<b00295766 at essec.edu> wrote:
> Hello everyone
> 
> Is there a function/command to simulate from "matrix variate normal
> distribution" in R.
> 
> A follow up question would be is there a function/command to obtain the
> density, distribution and quantile function of "matrix variate normal
> distribution" in R.
> 
> Wikipedia has a good description of "matrix variate normal
distribution"
> which is also alternatively called "matrix normal distribution".
> 
> Thanks a lot !
> 
> Best
> Shantanu
> 
> 	[[alternative HTML version deleted]]
> 
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