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
calling rmvnorm from C ?
1 message · benn fine