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Subject: Re: How to generate non-normal correlated random vars
Date: Fri, 13 Nov 2009 23:03:17 +0000 (UTC)
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Thanks a lot for saving me a lot of time.

Peter Perkins <Peter.Perkins@MathRemoveThisWorks.com> wrote in message <hdeju4$ism$1@fred.mathworks.com>...
> dandas wrote:
> 
> > Now I have historical data that fit into arbitrary distributions (similar to generalized pareto). How do I generate correlated random numbers? what information do I need? 
> 
> One possibility is to use the functions in the Statistics Toolbox for copulas.  This demo
> 
> <http://www.mathworks.com/products/statistics/demos.html?file=/products/demos/shipping/stats/copulademo.html>
> 
> gives the basic ideas behind those functions, while this documentation
> 
> <http://www.mathworks.com/access/helpdesk/help/toolbox/stats/brklrj3.html#bqttfgl-1>
> 
> goes a little deeper into the details of the functions themselves.
> 
> This demo
> 
> <http://www.mathworks.com/products/statistics/demos.html?file=/products/demos/shipping/stats/nonparametricCDFdemo.html>
> 
> might also be of interest.
> 
> Hope this helps.