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Simulations with Exact Means and Covariances

11 Jun 2009

Code covered by the BSD License

Exact multivariate normal simulation

File Information
Description	Multivariate normal simulations where sample mean and covariances match the respective population moments, refer to A. Meucci (2009), "Simulations with Exact Means and Covariances", available here http://ssrn.com/abstract=1415699
Required Products	Statistics Toolbox
MATLAB release	MATLAB 7.3 (R2006b)
Zip File Content
Other Files	ExactCorrelations/MvnRnd.m, ExactCorrelations/S_Test.m, license.txt

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Tag	Applied By	Date/Time
finance	Attilio Meucci	11 Jun 2009 11:53:12
statistics	Attilio Meucci	11 Jun 2009 11:53:13

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