statsmodels.sandbox.stats.multicomp.randmvn

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

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

Return type:

ndarray