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## Re: Correlating samples generated by randn

**From**: |
Dirk Eddelbuettel |

**Subject**: |
Re: Correlating samples generated by randn |

**Date**: |
Thu, 24 Jan 2002 12:20:46 -0600 |

**User-agent**: |
Mutt/1.3.25i |

On Thu, Jan 24, 2002 at 07:11:42PM +0100, Pascual Mu?oz Mu?oz wrote:
>* I want to use randn to generate a random process realization where each*
>* sample in the realization is correlated with some of its neighboor*
>* samples. Is this possible in Octave? How?*
If C is the covariance matrix you want to use, then
n = rows(C);
Q = chol(C); # so that Q'*Q equals C
X = Q'*randn(n,1); # multivariate Normal(Zero, C)
Dirk
--
Good judgment comes from experience; experience comes from bad judgment.
-- F. Brooks
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