There are many ways to simulate a multivariate gaussian distribution assuming that you can simulate from independent univariate normal distributions. One of the most popular method is based on the Cholesky decomposition. Let’s see how Rcpp and Armadillo perform on this task. #include <RcppArmadillo.h> // ] using namespace Rcpp; // ] arma::mat mvrnormArma(int n, arma::vec mu, arma::mat sigma) { int ncols...