Generating numbers from a multivariate standard normal distribution

Hello,

I have estimated the product moment correlation p between 3 normal variables YT1, YT2 and YD. I want generate 3 numbers yt1, yt2 and yd from a multivariate standard normal distribution with correlation p.

This is my correlation matrix:

  YT1  YT2  D
YT1  1  0.25  -0.33
YT2  0.25  1  0.27
D  -0.33  0.27  1

Could anybody advise me on how to do this in Matlab?

Thank you

John

Answer 1

[Oleg Komarov]

http://www.mathworks.com/matlabcentral/answers/23173#answer_30456