Using the numpy function numpy.random.multivariate_normal()
, if I give the mean and covariance, I am able to draw random samples from a multivariate Gaussian.
As an example,
import numpy as np
mean = np.zeros(1000) # a zero array shaped (1000,)
covariance = np.random.rand(1000, 1000)
# a matrix of random values shaped (1000,1000)
draw = np.random.multivariate_normal(mean, covariance)
# this outputs one "draw" of a multivariate norm, shaped (1000,)
The above function outputs one "draw" from a multivariate Gaussian, shaped (1000,)
(as the covariance matrix is shaped 1000,)
).
I would like 200 draws. How does one do this? I would create a list comprehension, but I don't see how to create the iteration.
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