How do I generate random n-d vector samples from Multivariate Normal Distribution?

George Carlisle

2016 3 2

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The function should have form:

[v] = sample_from_norrnal(m,EVecs,EVals)

Where m is the mean vector, EVecs is a matrix containing the eigenvectors of the covariance matrix and EVals is a vector containing the eigenvalues of the covariance matrix. (Hint: Generate a vector of samples from a unit normal distribution, scale the elements by sqrt(Evals) multiply by EVecs (to rotate the axes), then add the mean)