Generate multivariate normal data

Version 1.1.0.0 (2.37 KB) by Calvin Price
Generate sample data based on user defined correlations (not covariances).
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Updated 28 Jan 2010

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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.

Cite As

Calvin Price (2024). Generate multivariate normal data (https://www.mathworks.com/matlabcentral/fileexchange/25960-generate-multivariate-normal-data), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2009a
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Version Published Release Notes
1.1.0.0

Means and variances are now optional inputs. Number of variables is no longer an input, but is simply inferred from size of correlation matrix.
1.0.0.0