generate a correlated normal distribution

Dear ALL

Is there any fucntion in Matlab that allow me to generate a correlated normal distribution sequence .

Can you help me ...

BR

Answer 1

[Wayne King]

Not sure what you mean by "one sequence correlated together with normal distribution"

You can generate a sequence that follows a particular normal distribution with randn()

For example, to generate a sequence that follows a N(0,1)

    N = 1000;
    x = randn(1000,1);

To generate a sequence that follows a N(mu,sigma^2) distribution

     mu = 5;
     sigma = 2;
     x = mu+ 2*randn(1000,1);

These sequences will be white-noise sequences though. In other words, there will not be any autocorrelation (the individual sequence values will be mutually uncorrelated)

You can introduce any variety of autocorrelation by filtering the sequence. For example, to generate a lowpass AR(1) process.

A = [1 -0.9];
x = randn(1000,1);
y = filter(1,A,x);

The sequence y will show autocorrelation.

[RAYYAN]

Dear Wayne King

please see this question on this link, I need your help

http://www.mathworks.com/matlabcentral/answers/85776-optimization-algorithms-or-any-algorithms

BR RAYYAN

Answer 2

[the cyclist]

If you have the Statistics Toolbox, it is particularly easy. Use the mvnrnd() function.

If you don't, then see Daniel's answer here: http://www.mathworks.com/matlabcentral/answers/23173

[RAYYAN]

Thanks the cyclist

but these answers did not help me, because these answers generate two correlated random sequence.

I want to generate one sequence correlated together with normal distribution.

Can you help me for this issue..