About the generation of correlated random variables

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ahmed abrous 2014-6-16

编辑： ahmed abrous 2014-6-17

Hi everyone,

I have a question to ask on this forum. I want to create random variables from the correlation matrix, found from the PSD function.

How can I proceed,

Thank you.

John D'Errico 2014-6-16

编辑：John D'Errico 2014-6-16

Random variables from WHAT distribution? (Sort of a trick question. Anything but a normal distribution will be somewhat difficult.)

ahmed abrous 2014-6-17

编辑：ahmed abrous 2014-6-17

In fact, I have a PSD function (Power spectral density) and I want to create a Gaussian stationary random variables from that psd.

Honglei Chen 2014-6-16

Here is an example

sigma = [1 0.2;0.2 1];
x = randn(1000,2)*chol(sigma);
corrcoef(x)  % verify

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