generating correlated series

Hi Does anyone know of a way to generate series that have a defined correlation, mean and variance? i.e. I want to be able to say "the correlation between the first series and the second is 0.5, between the first and the 3rd is 0.8 etc". Also want to be able to say "mean and variance of the first is 1 and 0.5 respectively etc" for the other series. The last requirement is that none of the values in any of the series can be less than -1. Could anyone help me? I've honestly spent the whole day trying to sort this out!! Thanks!

[Oleg Komarov]

Pdf of the series?

[Michael]

sorry, what do you mean?

[Oleg Komarov]

probability density functions: uniform, normal,...

[Michael]

oh ya sorry. I want them to be normally distributed. Should make it easier to specify the variance-covariance matrix.

Answer 1

[Oleg Komarov]

If you have the stats TB then you just have to use mvnrand, otherwise you can read this reference (pretty straightforward): http://www.columbia.edu/~mh2078/MCS04/MCS_framework_FEegs.pdf chapter 3.

[Michael]

TB? Oh ya thats exactly the document I originally used, but it doesn't prevent the values being less than -1

[Oleg Komarov]

TB = Toolbox;

Then you probability want to truncate the gaussian: http://www.mathworks.com/matlabcentral/fileexchange/23832-truncated-gaussian