Correlated Random Variates
 

Can anybody provide me with a procedure to generate
correlated random variates?

Correlated Random Variates
 

Can anybody provide me with a procedure to generate
correlated random variates?

How many sets? If only two, then you can use this formula:

CRV2 = corr * RV1+ RV2 * (1 - corr ^ 2) ^ 0.5

If you want more than 2, it gets progressively more complicated.
I'd suggest an Internet search or try www.riskchat.com, where
somebody offered a VBA routine.

HTH,
Merjet

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?