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How to generate correlated Normal random variables

Posted 10 years ago
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 10 years ago
If you provide correlations in covariance matrix you cau useĀ 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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