Generate random errors for data with specific covariance matrices

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Mary Tavoosi
Mary Tavoosi on 3 Oct 2021
Commented: Mary Tavoosi on 3 Oct 2021
I have simulated 450 data for a linear regression model with 5 independent variables and a dependent variable (y=a*x1+b*x2+c*x3+d*x4+e*x5+f). Each of these data has specific weights(Wy, Wx1, Wx2, Wx3, Wx4, Wx5) . Now I want to add a random error with a mean of zero and variance (for example Sigma*inv(W) ) of each variables to this data. How can this be done?

Answers (1)

the cyclist
the cyclist on 3 Oct 2021
If you have the Statistics and Machine Learning Toolbox, you can generate correlated normal variables with the mvnrnd function.

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