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Correlated Random Variates
here is a good link:
http://www.kellogg.nwu.edu/faculty/m...ddins.htm#simt See CORAND(CorrelArray, RandSource), entered as an array formula in a range of cells in a row, returns RANDom values for making random variables that have correlations as in the given CorrelArray. (See also NORMIZE.) Also, if U and V are independent std normal then: X=a + bU Y=c + d*rho*U+d*sqrt(1-rho^2)*V are bivariate normal. boyd "Paul Goldwater" wrote in message ... Can anybody provide me with a procedure to generate correlated random variates? |
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