Generate multivariate normal data
by Calvin Price
26 Nov 2009
(Updated 28 Jan 2010)
Generate sample data based on user defined correlations (not covariances).
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| File Information |
| Description |
Generates a sample of observations having user defined correlation matrix R. Optionally, the user may also define the means and variances. If unspecified, these two arguments will default to a mean vector of zeros and variance vector of ones. |
| MATLAB release |
MATLAB 7.8 (R2009a)
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| Updates |
| 28 Jan 2010 |
Means and variances are now optional inputs. Number of variables is no longer an input, but is simply inferred from size of correlation matrix. |
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