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Generate multivariate normal data

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Generate multivariate normal data

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26 Nov 2009 (Updated )

Generate sample data based on user defined correlations (not covariances).

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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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