Skip to content

calling rmvnorm from C ?

1 message · benn fine

#
Writing an asset allocation simulation in C callable
from R and want to be able to generate random vectors
from a multivariate normal distribution.

Can I call the rmvnorm() function from within my C
program ? I realize I could just use BLAS and do the
Cholesky factorization and then the matrix multiply,
but I am already too worried about using C from within
R to add additional code.

Any code fragments showing how to call rmvnorm() from
a C program called from R would be most appreciated.

Thanks!

Benn