How to generate intercorrelated multivariate random numbers?

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paasc
paasc on 27 Mar 2015
Edited: John D'Errico on 28 Mar 2015
Hi, how can I generate a matrix (say 100x60) of normally distributed variables where some of the variables are correlated with others and some of them aren't?
do I approach this with 'randn' or 'mvnrnd' function?
Thank you in advance!

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Answers (1)

John D'Errico
John D'Errico on 28 Mar 2015
Edited: John D'Errico on 28 Mar 2015
help mvnrnd
Did you read the help? Maybe you need to understand what a correlation matrix is, and how to convert that to a covariance matrix.

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