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Diego M. Oviedo-Salcedo

How to generate correlated Normal random variables

Diego M. Oviedo-Salcedo
Posted 9 years ago
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Say, A, B and C are normally distributed random variables. They are correlated. How can I create random realizations for each variable such that the vectors show the given correlation?
POSTED BY: Diego M. Oviedo-Salcedo
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Mark Dooris
Mark Dooris
Posted 9 years ago
If you provide correlations in covariance matrix you cau use MultinormalDistribution, e.g. (from documentation):
RandomVariate[
MultinormalDistribution[{1, 2, 4}, {{2, -1/4, 1/3}, {-1/4, 2/3, 1/5}, {1/3, 1/5, 1/2}}], 10^3];
This will provide a sample of size 1000 from a correlated multinormal distribution.
POSTED BY: Mark Dooris
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