How to generate intercorrelated multivariate random numbers?

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paasc
paasc 2015 年 3 月 27 日
編集済み: John D'Errico 2015 年 3 月 28 日
Hi, how can I generate a matrix (say 100x60) of normally distributed variables where some of the variables are correlated with others and some of them aren't?
do I approach this with 'randn' or 'mvnrnd' function?
Thank you in advance!

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John D'Errico
John D'Errico 2015 年 3 月 28 日
編集済み: John D'Errico 2015 年 3 月 28 日
help mvnrnd
Did you read the help? Maybe you need to understand what a correlation matrix is, and how to convert that to a covariance matrix.

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