Let's look into Cholesky Decomposition' (CD) a bit. In order to ganerate correlated random variables, CD is used to abtain a correlation matrix (C): LL'-C, where L is the lower trianguar matrik obtained from CD. Then I can generate two correlated random variablos: LX - Y, where X- where X are uncorrelated varinbles and Y are correlated varinbles we need. If we want two correlated drawn values from Y, what is L?
Let's look into Cholesky Decomposition' (CD) a bit. In order to ganerate correlated random variables, CD is used to abtain a correlation matrix (C): LL'-C, where L is the lower trianguar matrik obtained from CD. Then I can generate two correlated random variablos: LX - Y, where X- where X are uncorrelated varinbles and Y are correlated varinbles we need. If we want two correlated drawn values from Y, what is L?
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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Transcribed Image Text:Let's look into 'Cholesky Decomposition' (CD) a bit. In order to generate correlated random variables, CD is used to obtain a corelation matrix (C):
LL'=C, where L is the lower triangular matrik obtained from CD.
Then I can generate twO correlated random variables:
LX = Y, where X-
where X are uncorrelated variables and Y are correlated variables we need. If we want two correlated drawn values from Y, what is L?
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