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:

rhofloat

correlation coefficient

sizetuple of int

size is interpreted (nobs, nvars) where each row

standardizebool

If True, then the returned draws are standardized to have unit variance using scipy.stats.zscore. Default is False.

Returns:

rvsndarray

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