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From: "Deva MDP" <devasiri@gmail.com>
Newsgroups: comp.soft-sys.matlab
Subject: Re: Generation of Correlated Data
Date: Sun, 17 Aug 2008 03:19:01 +0000 (UTC)
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"Deva MDP" <devasiri@gmail.com> wrote in message
<g7ri75$8hr$1@fred.mathworks.com>...
> Can some one tell how to generate two random data sets 
> with known correlation, (say Corr. Coef. = 0.5)
devasiri@gmail.com

Dear Friend,

Thank you for the support given. I undestood how to generate
two data vectors to a required correlatin between them.But
my problem is as follows which I couldn't clarify yet.

I have generated a correlated random vector with 3 columns
for a desired correlaton matrix. Though my work is
successful, still I don't know the theory behind this procedure.
The procedure adopted is as follows.
 
(1) Generated 3 random vectors with ndependently normally
dstributed entries. X=[x1 x2 x3]
Corr(X)= Identity matrix approximately.
 
(2) Then x is transformed in to Y by Y=X*c , where c=
squreroot of G (G s the ultimate correlation matrix of Y)
(c is +ve definte matrx)
The form of G = (1 g g;g 1 g;g g 1], g is the correlaton
between the formed vectors.
 
Thankful If you can kndly let me know the theory behind this
procedure.


Best regards

Devasiri