About the generation of correlated random variables

Hi everyone,

I have a question to ask on this forum. I want to create random variables from the correlation matrix, found from the PSD function.

How can I proceed,

Thank you.

[John D'Errico]

Random variables from WHAT distribution? (Sort of a trick question. Anything but a normal distribution will be somewhat difficult.)

[ahmed abrous]

In fact, I have a PSD function (Power spectral density) and I want to create a Gaussian stationary random variables from that psd.

Answer 1

[Honglei Chen]

Here is an example

sigma = [1 0.2;0.2 1];
x = randn(1000,2)*chol(sigma);
corrcoef(x)  % verify