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How to Generate a random variable with a defined correlation to an existing variable?

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magdy shaaban
magdy shaaban on 2 Feb 2017
Answered: Niels on 2 Feb 2017
for example if I have a fixed vector x1=[0.5;0.2;0.6;0.30;0.7]; how can I generate a vector x2 with a predefined correlation say 0.7 with x1?

Answers (1)

Niels
Niels on 2 Feb 2017
>> x1=[0.5;0.2;0.6;0.30;0.7]
x1 =
0.5000
0.2000
0.6000
0.3000
0.7000
>> x2=0.7*x1
x2 =
0.3500
0.1400
0.4200
0.2100
0.4900

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