About the generation of correlated random variables
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Hi everyone,
I have a question to ask on this forum. I want to create random variables from the correlation matrix, found from the PSD function.
How can I proceed,
Thank you.
2 Comments
John D'Errico
on 16 Jun 2014
Edited: John D'Errico
on 16 Jun 2014
Random variables from WHAT distribution? (Sort of a trick question. Anything but a normal distribution will be somewhat difficult.)
Answers (1)
Honglei Chen
on 16 Jun 2014
Here is an example
sigma = [1 0.2;0.2 1];
x = randn(1000,2)*chol(sigma);
corrcoef(x) % verify
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