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Highlights from
Simulations with Exact Means and Covariances

  • X=MvnRnd(M,S,J) % this function generates normal simulations whose sample moments match the population moments
  • S_Test.m% this scripts generates normal simulations whose sample moments match the population moments
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Simulations with Exact Means and Covariances

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11 Jun 2009 (Updated )

Exact multivariate normal simulation

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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",

Latest version of article and code available at http://symmys.com/node/162

Required Products Statistics Toolbox
MATLAB release MATLAB 7.3 (R2006b)
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Updates
09 May 2011

updated references

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