/*************************************************************************************/
/* This script, MVN.JSL, generates multivariate normal data using the Cholesky       */
/* root of the variance-covariance matrix.                                           */
/*                                                                                   */
/* Requirements of the user:                                                         */
/*     Supply your variance-covariance as the "varcov" matrix,                       */
/*     Supply a vector of means as the "means" matrix,                               */
/*     Enter the number of rows desired as the "n".                                  */
/*                                                                                   */
/* To verify the means, run Analyze-->Distribution with all columns.  To verify      */
/* the variance/covariance structure, run Analyze-->Multivariate Methods-->          */
/* Multivariate with all columns.                                                    */
/*                                                                                   */
/* This script was developed for JMP 5.1.1, and no error checking is performed.      */
/*                                                                                   */
/*************************************************************************************/

//  Define the variance/covariance matrix;
varcov=[4.0  1.8   4.0  3.6 ,
        1.8  9.0   3.6  1.0 ,
        4.0  3.6  16.0  1.5 ,
        3.6  1.0   1.5 20.0 ];

//  Define the vector of means;
means=[10,20,30,40];

//  Define the number of data rows to produce; 
n=10000;

ones=j(1,n,1);
meansmx=means*ones;

v=NRow(means);
l=Cholesky(varcov);
z=j(v,n,RandomNormal());
x=l*z;
X2=meansmx + x;
xt=Transpose(x2);

mvn=AsTable(xt);

mvn<<Set Name("Multivariate Normal");



/*************************************************************************************/
/*                                                                                   */
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