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Re: Generation of another Gaussian random variable from a given one... [message #94134 is a reply to message #94133]

Fri, 27 January 2017 20:29

d.poreh
Messages: 406
Registered: October 2007

Senior Member

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

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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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