Generating a random variable that has a predefined covariance with other random variable
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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!
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How about just setting X=e ?
3 commentaires
John D'Errico
le 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
le 1 Nov 2014
Setting X = e does give a covariance of 1, because e was stated as N(0,1).
John D'Errico
le 1 Nov 2014
Oops, yes. I missed that.
the cyclist
le 1 Nov 2014
Modifié(e) : the cyclist
le 1 Nov 2014
0 votes
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.
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