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### Highlights from Multivariate Lognormal Simulation with Correlation

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# Multivariate Lognormal Simulation with Correlation

### Stephen Lienhard (view profile)

29 Nov 2004 (Updated )

A multivariate lognormal simulator.

File Information
Description

MVLOGNRAND MultiVariate Lognormal random numbers with correlation.

This function will generate multivariate lognormal random numbers with correlation.

Often one would simulation a lognormal distribution by first simulating a normal and then taking the exponent of it.

If you provide the correlation matrix to the multivariate normal random number generator and then exponeniate the results, you will not have the correlation stucture you input in the normal distribution because of the exponeniation. This function adjusts for that and passes the adjusted correlation matrix to the normal random number generator.

Example:
Mu = [ 11 12 13 ];
Sigma= [ .1 .3 .5 ];
Sims= 1e6;
CorrMat=[1 .2 .4 ; .2 1 .5 ; .4 .5 1];
y=MvLogNRand(Mu,Sigma,Sims,CorrMat );

corrcoef(y)
ans =
1 0.19927 0.40156
0.19927 1 0.50008
0.40156 0.50008 1

CorrMat =
1 0.2 0.4
0.2 1 0.5
0.4 0.5 1

Required Products Statistics and Machine Learning Toolbox
MATLAB release MATLAB 7.0.1 (R14SP1)
20 Jul 2016 Katerina Rippi

### Katerina Rippi (view profile)

I tried to use the code with 2 variables but then it is giving an error saying that Sigma should be a symmetric semi-positive definite matrix. Do you have any idea of how I should deal with that?

23 Jul 2014 Dima

### Dima (view profile)

10 Jul 2013 Nan Shen

### Nan Shen (view profile)

question: is the meam and standard deviation normal or lognormal?

Comment only
14 Nov 2012 Jenny Chew

### Jenny Chew (view profile)

19 Jan 2008 Tube Event
15 May 2007 jane matthew

i need information abaout matlab for lognormal distribution in statistik

26 Oct 2005 ofer setty