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Simulations with Exact Means and Covariances

version 1.1.0.0 (2.3 KB) by Attilio Meucci
Exact multivariate normal simulation

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Updated 09 May 2011

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Multivariate normal simulations where sample mean and covariances match the respective population moments, refer to
A. Meucci (2009), "Simulations with Exact Means and Covariances",

Latest version of article and code available at http://symmys.com/node/162

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Updates

1.1.0.0

updated references

MATLAB Release Compatibility
Created with R2006b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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