why when I use mvrnd to generate random vectors from a multivariate normal I always get small numbers in absolute value ?

1 次查看(过去 30 天)
Hi, why when I use mvrnd to generate random vectors from a multivariate normal I always get small numbers in absolute value (not larger than 4 or 5)? E.g.
mu=[0 0];
sigma=[1 0.4; 0.4 1];
r=10000; %number of simulated unobservables
epsilon=mvnrnd(mu,sigma,r);
Thanks

采纳的回答

Vaclav Rimal
Vaclav Rimal 2013-12-11
The width of the distribution is ruled by the diagonal elements of sigma. If you want larger absolute values, try scaling sigma, e.g.
sigma = [10 4; 4 10];
  2 个评论
Vaclav Rimal
Vaclav Rimal 2013-12-11
编辑:Vaclav Rimal 2013-12-11
But when the variances are v=1.0, the standard deviations of both vectors are supposed to be sqrt(v)=1.0, so there is only a little probability that a value exceeds the number 5 you mentioned. (99.7 % should have absolute values less than 3*sqrt(v), which you can test by sum(abs(epsilon)<3).) You simply cannot have v=1.0 and large numbers in the result.

请先登录,再进行评论。

更多回答(0 个)

类别

Help CenterFile Exchange 中查找有关 Random Number Generation 的更多信息

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by