Hi, There is a procedure, where you do cholesky decomposition of the required covariance matrix and multiply the generated random numbers with a triangular matrix obtained from cholesky decomposition. If you need only for two variables, this should reduce to a simple formula. You can get more info in a statistics book or random process book. Navan --- Yanjun Yan <> wrote: > Hi, All: > > Do you know how should I generate the Random Vectors > given the Covariance > Matrix? > > Or in general, how should I realize the correlation > between Random variables? > > eg: > X=[x1,x2] > Covariance Matrix is[1,0.5;0.5,1] > > I want to generate 1000 samples of X, what should I > do? > > Thanks a LOT! > > Kitty __________________________________________________ |