Thread Subject: Generate correlated random vectors

Hi!

I'd like to generate correlated random vectors. But anything I found regarding this topic, stated that the two original vectors (out of which I generate the correlated third one) are normally distributed.

Now my question is: What happens if my distribution is e.g. uniform in a certain interval, i.e. the first vector should be in e.g. [0,5] and the second in [0,10]. A perfect correlation (i.e. rho=1) would yield pairs like (0,0), (2.5,5), (5,10) and so on.

Could anybode please give me a hint on how to proceed here?

Many thanks in advance!

Thomas

Thomas wrote:

> I'd like to generate correlated random vectors. But anything I found regarding this topic, stated that the two original vectors (out of which I generate the correlated third one) are normally distributed.
>
> Now my question is: What happens if my distribution is e.g. uniform in a certain interval, i.e. the first vector should be in e.g. [0,5] and the second in [0,10]. A perfect correlation (i.e. rho=1) would yield pairs like (0,0), (2.5,5), (5,10) and so on.
>
> Could anybode please give me a hint on how to proceed here?

One possibility:

<http://www.mathworks.com/products/statistics/demos.html?file=/products/demos/shipping/stats/copulademo.html>