how to generate a vector of uncorrelated random varaibles

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David Zhang 2012-2-6

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采纳的回答： Oleg Komarov

Hi all, I like to generate a vector of uncorrelated random variables in matlab? is anyone have some suggestion to me? Thanks

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Oleg Komarov 2012-2-6

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Any distribution centered on 0 will yield uncorrelated vectors as long as you have enough observations:

v = rand(1e5,2);
corr(v)

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David Zhang 2012-2-6

Hi Oleg, what is the principle underlying this conclusion?

what i like to get is: RVs=[a1, a2, a3, a4], a1...a5 are mutually uncorrelated, how to simulate the samples of this vector.

thanks again.

Tom Lane 2012-2-6

Most MATLAB random number generators (rand, randn, others) will generate arrays in which the columns are theoretically uncorrelated. That is, any sample correlation between them is just random. Only a few functions (mvnrnd) generate data with theoretical correlation.

If you need exactly zero sample correlation, then you'll probably have to impose that yourself. That will make the samples no longer independent, though.

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