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Re: Generation of another Gaussian random variable from a given one... [message #94135 is a reply to message #94134]

Fri, 27 January 2017 20:54

Jim Pendleton
Messages: 165
Registered: November 2011

Senior Member

On Friday, January 27, 2017 at 9:29:50 PM UTC-7, dave poreh wrote:
> On Saturday, January 28, 2017 at 7:45:38 AM UTC+3:30, dave poreh wrote:
>> Folks,
>> I have a Gaussian random variable with zero mean, and variance (f_x). I need to generate another Gaussian random variable with zero mean, and another variance, that would be correlated with the first one (f_x) with the correlation coefficient of say *r*.
>> I need some suggestions...
>> Thanks for any kind of helps in advances,
>> Cheers,
>> Dave
>
> ... I mean at the end we should have:
> corr(f_x, f_y) = r
> The correlation between two Gaussian random variable with zero mean, and variance should be = r

If no IDL solution is quickly forthcoming, there's a similar discussion on stackexchange.com, with an algorithmic description. http://stats.stackexchange.com/questions/15011

An implementation is provided in R. I'm no expert on R syntax, but it looks like the code could be translated from R to IDL.

For validation of an IDL implementation against this reference, you could call R directly via python and the rpy2 bridge.

http://www.harrisgeospatial.com/Company/PressRoom/Blogs/IDLD ataPointDetail/TabId/902/ArtMID/2926/ArticleID/14718/Calling -the-R-Statistical-Package-from-IDL-via-Python.aspx

Jim P.

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[Message index]

		Generation of another Gaussian random variable from a given one... By: d.poreh on Fri, 27 January 2017 20:15
		Re: Generation of another Gaussian random variable from a given one... By: d.poreh on Fri, 27 January 2017 20:29
		Re: Generation of another Gaussian random variable from a given one... By: Jim Pendleton on Fri, 27 January 2017 20:54
		Re: Generation of another Gaussian random variable from a given one... By: Markus Schmassmann on Mon, 30 January 2017 02:54
		Re: Generation of another Gaussian random variable from a given one... By: d.poreh on Tue, 31 January 2017 07:57

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