Normal variates with correlation (lagged 1 step)
- To: mathgroup at smc.vnet.net
- Subject: [mg6580] Normal variates with correlation (lagged 1 step)
- From: "David E. Burmaster" <deb at Alceon.com>
- Date: Fri, 4 Apr 1997 02:11:32 -0500 (EST)
- Sender: owner-wri-mathgroup at wolfram.com
Dear MathGroup How can I use the random number generator(s) in Mma to generate a string of N=2000 Normal variates (with a mean mu and standard deviation sigma) that have, on average, a correlation of rho between the immediately adjacent values. In other words, I want the variates lagged by one time step to have a correlation of -1 < rho < 1. I am particularly interested in two values: rho = +0.85 and rho = -0.85 Thank you for your help. Dave ******************************* David E. Burmaster, Ph.D. Alceon Corporation (R) PO Box 382669 Cambridge, MA 02238-2669 tel: 617-864-4300 x222 fax: 617-864-9954 deb at Alceon.com http://www.Alceon.com (R) Alceon is a registered trademark of Alceon Corporation *******************************