Re: Correlating samples generated by randn

[Dirk Eddelbuettel]

On Thu, Jan 24, 2002 at 07:11:42PM +0100, Pascual Mu?oz Mu?oz wrote:
> I want to use randn to generate a random process realization where each
> sample in the realization is correlated with some of its neighboor
> samples. Is this possible in Octave? How?

If C is the covariance matrix you want to use, then

   n = rows(C);
   Q = chol(C);                 # so that Q'*Q equals C
   X = Q'*randn(n,1);           # multivariate Normal(Zero, C)

Dirk

-- 
Good judgment comes from experience; experience comes from bad judgment. 
                                                            -- F. Brooks



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