Generate a Multivariate Normal Data Set

*****************************************************;
* MVNGen.sas - Generate multivariate normal data    *;
* E. Barry Moser, Dept Experimental Statistics, LSU *;
*****************************************************;
ODS HTML body=    "MVNGen.html" 
         headtext="<title>Simulated Multivariate Normal Data</title>"
         anchor="MVNGen";
Options PS=55 LS=80 PageNo=1 NoDate
        FORMCHAR='|----|+|---+=|-/\<>*';
Title1 "Simulated Multivariate Normal Data";

Proc IML;
/*
 * Set Printing Options:
 *  NOLOG -> Send output to Listing window if printing turned on.
 *  NOPRINT -> Suppress printing. Set to PRINT to get output.
 */
 Reset NoLog NoPrint;
/*
 * Specify random number seed
 */
 Seed=0;
/*
 * Specify number of observations for the data matrix
 */
 n=30;
/*
 * Define Correlation Matrix
 */
 R={1 0.5, 0.5 1};
/*
 * Define Vector of Standard Deviations
 */
Ds=Diag({2 6});
/*
 * Compute Covariance Matrix
 */
S=Ds*R*Ds;
/*
 * Compute Choleski Root for transformation
 */
T=Root(S);
/*
 * Initialize data vector with random number seed
 */ 
X=J(n,NRow(S),Seed);
/*
 * Generate Independent Standard Normals for the data matrix
 */
X=Rannor(X);
/*
 * Now transform to have the desired covariance structure
 */
Y=X*T;
/*
 * Save the data matrix
 */
Create NormalData From Y;
Append From Y;
Close NormalData;
/*
 * Done.
 */
Quit;


Proc Corr Data=NormalData;
Run;

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