Generating Partially Correlated Random Variables

Harry Commin — Sat, 23 Mar 2019 14:39:09 +0000

IntroductionIt is often useful to be able to generate two or more signals with specific cross-correlations. Or, more generally, we would like to specify an $\left(N \times N\right)$ covariance matrix, $\mathbf{R}_{xx}$, and generate $N$ signals which will produce this covariance matrix.

There are many applications in which this technique is useful. I discovered a version of this method...

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Generating Partially Correlated Random Variables