generating correlated series
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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!
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Oleg Komarov
on 27 Jun 2011
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.
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Oleg Komarov
on 28 Jun 2011
TB = Toolbox;
Then you probability want to truncate the gaussian: http://www.mathworks.com/matlabcentral/fileexchange/23832-truncated-gaussian
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