correlated Gaussian noise

vector generalization of matlab standard function randn() with correlations.

inputs: Rpp - pXp correlation matrix
nSamp - number of samples

outputs: data matrix of size
[p rows X nSamp cols]
sample correlation matrix

example generate a vector of 1000 pairs which are correlated as
[1 -0.3]
[-0.3 1]

R=[1 -0.3; -0.3, 1];
n = 1000;
[x, sampR]=correlatedGaussianNoise(R,n);
disp(sampR)