Leading dimention of correlation matrix
This seems to be a minor, but confusing error in the DRANDMULTINORMAL documentation:
— Input: DOUBLE PRECISION C
On input: variance / covariance matrix for the distribution.
— Input: INTEGER LDC
On input: leading dimension of C in the calling routine.
Should that N not be "M"? If I want to generate 10000 x M sets of correlated Normals, surely I don't need to make 10000 copies of the M x M correlation matrix?