r****y
发帖数: 1437 | 1 【 以下文字转载自 Mathematics 讨论区 】
发信人: rossby (五十岚已夜), 信区: Mathematics
标 题: a question about random number generator
发信站: BBS 未名空间站 (Thu Feb 7 11:28:25 2008), 转信
e.g., given a covariance matrix
cov = [ 1 0.02
0.02 1]
how to generate two random number series that have such covariance?
let's make it more specific, two random numbers both follow normal
distribution.
I guess there must be an algorithm invented already by someone for
such thing.
| s**b
发帖数: 169 | 2 not my major, just curious,
covariance only can determine PDF?
【在 r****y 的大作中提到】
: 【 以下文字转载自 Mathematics 讨论区 】
: 发信人: rossby (五十岚已夜), 信区: Mathematics
: 标 题: a question about random number generator
: 发信站: BBS 未名空间站 (Thu Feb 7 11:28:25 2008), 转信
: e.g., given a covariance matrix
: cov = [ 1 0.02
: 0.02 1]
: how to generate two random number series that have such covariance?
: let's make it more specific, two random numbers both follow normal
: distribution.
| l***n
发帖数: 812 | 3 在Matlab里直接使用就好了
mvnrnd(MU,SIGMA,N)
如果你想看它的程序怎么遍的，可以去查看它的源程序
【在 r****y 的大作中提到】
: 【 以下文字转载自 Mathematics 讨论区 】
: 发信人: rossby (五十岚已夜), 信区: Mathematics
: 标 题: a question about random number generator
: 发信站: BBS 未名空间站 (Thu Feb 7 11:28:25 2008), 转信
: e.g., given a covariance matrix
: cov = [ 1 0.02
: 0.02 1]
: how to generate two random number series that have such covariance?
: let's make it more specific, two random numbers both follow normal
: distribution.
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