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 : ndarray, (nobs, nvars)

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