Generating a random variable that has a predefined covariance with other random variable
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I wanted to generate a normal random variable which has a predefined co-variance with another random number. But I can't figure out how to proceed.Here is the specific problem,
I have e~N(0,1) and I want to generate X such that cov(x,e)=1 and E(X)=0. How can I generate this random number with sample size 500?
Thanks!
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Roger Stafford
2014년 11월 1일
You haven't stated what you want the variance of X to be. If it is to be 1, the trivial solution would be to set X = e. For general var(X) = v (which must be greater than or equal to 1,) use this formula for generating X:
X = e(1:500) + sqrt(v-1)*randn(1,500);
where presumably 'e' and randn are statistically independent.
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Matt J
2014년 11월 1일
편집: Matt J
2014년 11월 1일
How about just setting X=e ?
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Roger Stafford
2014년 11월 1일
Setting X = e does give a covariance of 1, because e was stated as N(0,1).
the cyclist
2014년 11월 1일
편집: the cyclist
2014년 11월 1일
If you have the Statistics Toolbox, you can use the mvnrnd command.
If you don't, you can use Cholesky decomposition to do this. This page seems to have a pretty good explanation, and there is even some MATLAB code there.
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