Generating a random variable that has a predefined covariance with other random variable
Ältere Kommentare anzeigen
I wanted to generate a normal random variable which has a predefined co-variance with another random number. But I can't figure out how to proceed.Here is the specific problem,
I have e~N(0,1) and I want to generate X such that cov(x,e)=1 and E(X)=0. How can I generate this random number with sample size 500?
Thanks!
Akzeptierte Antwort
Weitere Antworten (2)
How about just setting X=e ?
3 Kommentare
John D'Errico
am 1 Nov. 2014
Except the question was about the covariance. If the correlation was to be 1, then X=e would be correct.
Roger Stafford
am 1 Nov. 2014
Setting X = e does give a covariance of 1, because e was stated as N(0,1).
John D'Errico
am 1 Nov. 2014
Oops, yes. I missed that.
the cyclist
am 1 Nov. 2014
Bearbeitet: the cyclist
am 1 Nov. 2014
0 Stimmen
If you have the Statistics Toolbox, you can use the mvnrnd command.
If you don't, you can use Cholesky decomposition to do this. This page seems to have a pretty good explanation, and there is even some MATLAB code there.
Kategorien
Mehr zu Random Number Generation finden Sie in Hilfe-Center und File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!