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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?
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