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I googled for this once upon a time and nothing came up. Hopefully this saves someone ten minutes of digging about in the documentation.
You make identity matrices with the keyword diag, and the number of dimensions in parentheses.
> diag(3)
[,...

We often simulate data in SAS or R to confirm analytical results. For example, consider the following problem from the excellent text by Rice:Let U1, U2, and U3 be independent random variables uniform on . What is the probability that the roots...