Matlab - Cholesky

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Author

Cholesky

marco_bandit

2005-04-22, 4:04 pm

Hi,
I have two normal distributions with paramiters (m1, s1) e (m2 s2). I
want that this two distributions have a correlation coefficent egual
corrx. I use to do this the Cholesky factorization. Well I obtain two
distribution with correlation coefficent corrx, one distribution with
parameters (m1 s1) but the other distribution has s2 standard
deviation like I want but different mean. I wrote :

n1 = normrnd(D_media_nor,D_sdev_nor,[GENE 1]);
n2 = normrnd(F_media_nor,F_sdev_nor,[GENE 1]);
n= [n1 n2];

A1=chol(CORRE_MATR);
C=(A1'*n')';

Thanks
Marco

Peter Perkins

2005-04-22, 9:00 pm

Marco, have you looked at MVNRND?

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