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scikits.statsmodels.sandbox.stats.multicomp.randmvn

scikits.statsmodels.sandbox.stats.multicomp.randmvn(rho, size=(1, 2), standardize=False)[source]

create random draws from equi-correlated multivariate normal distribution

Parameters :

rho : float

correlation coefficient

size : tuple of int

size is interpreted (nobs, nvars) where each row

Returns :

rvs : ndarray, (nobs, nvars)

where each row is a independent random draw of nvars-dimensional correlated rvs

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