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John

Generating numbers from a multivariate standard normal distribution

Asked by John
on 13 Apr 2012

Hello,

I have estimated the product moment correlation p between 3 normal variables YT1, YT2 and YD. I want generate 3 numbers yt1, yt2 and yd from a multivariate standard normal distribution with correlation p.

This is my correlation matrix:

	YT1	YT2	D
YT1	1	0.25	-0.33
YT2	0.25	1	0.27
D	-0.33	0.27	1

Could anybody advise me on how to do this in Matlab?

Thank you

John

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