I would like to simulate randomly from a multivariate normal distribution using a correlation matrix, rho. I do not have sigma. I have searched the help archive and the R documentation as well as doing a standard google search. What I have seen is that one can either use rmvnorm in the package: mvtnorm or mvrnorm in the package: MASS. I believe I read somewhere that the latter was more robust. I have seen conflicting (or at least seemingly conflicting to me, a relative statistics novice), views on whether one can use the correlation matrix with these commands instead of the covariance matrix. I thought that if the commands standardized the covariance matrix, then it would not matter, but I end up with larger values when I test the covariance matrix versus when I test rho. So, my question is, if one does not know sigma, can they use rho? And, if so, which command (or is there another) is better to use? I gather that both use eigen decomposition? Thank you so much in advance for your help.
Best,
Matt
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