Generating numbers from a multivariate standard normal distribution

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John
John il 13 Apr 2012
Hello,
I have estimated the product moment correlation p between 3 normal variables YT1, YT2 and YD. I want generate 3 numbers yt1, yt2 and yd from a multivariate standard normal distribution with correlation p.
This is my correlation matrix:
YT1 YT2 D
YT1 1 0.25 -0.33
YT2 0.25 1 0.27
D -0.33 0.27 1
Could anybody advise me on how to do this in Matlab?
Thank you
John

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Oleg Komarov
Oleg Komarov il 13 Apr 2012

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