About the generation of correlated random variables
4 visualizaciones (últimos 30 días)
Mostrar comentarios más antiguos
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 comentarios
John D'Errico
el 16 de Jun. de 2014
Editada: John D'Errico
el 16 de Jun. de 2014
Random variables from WHAT distribution? (Sort of a trick question. Anything but a normal distribution will be somewhat difficult.)
Respuestas (1)
Honglei Chen
el 16 de Jun. de 2014
Here is an example
sigma = [1 0.2;0.2 1];
x = randn(1000,2)*chol(sigma);
corrcoef(x) % verify
0 comentarios
Ver también
Categorías
Más información sobre Parametric Spectral Estimation en Help Center y File Exchange.
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!