HMM1.zip gaussian

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function x = gsamp(mu, covar, nsamp)
>GSAMP Sample from a Gaussian distribution.
>
> Description
>
> X = GSAMP(MU, COVAR, NSAMP) generates a sample of size NSAMP from a
> D-dimensional Gaussian distribution. The Gaussian density has mean
> vector MU and covariance matrix COVAR, and the matrix X has NSAMP
> rows in which each row represents a D-dimensional sample vector.
>
> See also
> GAUSS, DEMGAUSS
>

> Copyright (c) Ian T Nabney (1996-2001)

d = size(covar, 1);

mu = reshape(mu, 1, d); > Ensure that mu is a row vector

[evec, eval] = eig(covar);

coeffs = randn(nsamp, d)*sqrt(eval);

x = ones(nsamp, 1)*mu + coeffs*evec';