How to generate random numbers of two correlated variables following lognormal probability distribution?

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Abhishek 2014-11-24

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评论： Thorsten 2014-12-4

Let A and B are two random variables, following lognormal probability distribution. These two variables has a value of correlation between each other. I have to generate random numbers for these two variables.

Please suggest me any function or describe the process to do the necessary calculation for generation of these random numbers.

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Answer 1

Thorsten 2014-11-24

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If N has a normal distribution, exp(N) has a lognormal distribution:

x = -10:0.1:10;
N = randn(1, 10^6);
plot(x,hist(N, x), 'r', x, hist(exp(N), x), 'b')
legend({'normal', 'lognormal'})

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Abhishek 2014-12-4

Sir, I want to know the command or function used in matlab to generate a set of random numbers following correlated or multivariate lognormal distribution, means the variables following lognormal distribution will be correlated to each other.