Generating correlated random numbers

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Stavros Zanos
Stavros Zanos 2013-7-22
编辑： krana 2017-12-29
I have 2 independent variables X={x1,x2,...,xn} and Y={y1,y2,...,yn}.
I want to generate a random dependent variable Z={z1,z2,...,zn} that will bear a correlation coefficient Czx with X and Czy with Y.
I found the way to do this for one independent variable X that takes values between 0 and 1:
Z = Czx * rand(n,1) + sqrt(1-Czx^2)*X
It's not clear to me how to do that for two independent variables that both are correlated to Z and can take values from different ranges (e.g. 0<X<1 and 1<Y<10).
Any help will be appreciated.

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回答（1 个）

krana
krana 2017-12-29
编辑：krana 2017-12-29
I guess I'm a little late here but perhaps some other people might find this response useful. I created this simple function that I used as a workaround.
% code
function [Zv Zs]= randomcorrelatednum(rho)
Zv= rand(1);
Zs = rho*Zv + sqrt(1-rho^2)*rand(1);
while Zv> 1.00000001
Zv= rand(1);
Zs = rho*Zv + sqrt(1-rho^2)*rand(1);
end
end

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