simulate_matrix_gaussian

function simulate_matrix_gaussian(M:Real[_,_], U:LLT, V:LLT) -> Real[_,_]

Simulate a matrix Gaussian distribution.

  • M: Mean.
  • U: Among-row covariance.
  • V: Among-column covariance.

function simulate_matrix_gaussian(M:Real[_,_], U:LLT, σ2:Real[_]) -> Real[_,_]

Simulate a matrix Gaussian distribution with independent columns.

  • M: Mean.
  • U: Among-row covariance.
  • σ2: Among-column variances.

function simulate_matrix_gaussian(M:Real[_,_], V:LLT) -> Real[_,_]

Simulate a matrix Gaussian distribution with independent rows.

  • M: Mean.
  • V: Among-column variances.

function simulate_matrix_gaussian(M:Real[_,_], σ2:Real[_]) -> Real[_,_]

Simulate a matrix Gaussian distribution with independent elements.

  • M: Mean.
  • σ2: Variances.

function simulate_matrix_gaussian(M:Real[_,_], σ2:Real) -> Real[_,_]

Simulate a matrix Gaussian distribution with independent elements of identical variance.

  • M: Mean.
  • σ2: Variance.