How to generate Random Vectors given Covariance Matrix?

Started by March 30, 2003
 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
 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 __________________________________________________