How can I generate correlated standard normals?
 

How can I generate correlated standard normals?

How can I generate correlated standard normals?
 

Generate three N(0,1) variables, X2,X2,X3
Y1=a*X1+b*X3
Y2=c*X2+d*X3
where a^2+b^2=1=c^2+d^2. Y1 and Y2 are both N(0,1) with correlation b*d

Jerry

"Dan" wrote:

How can I generate correlated standard normals?