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 Author Comment/Response J. Karrey 05/13/13 06:44am Here I try to generate 10`000 pairs of correlated random numbers distributed according to multivariate LogNormal distribution. Note the correlation matrix input. mu={4,5}; stdev={3,2}; correlationMatrix={{1,0.5},{0.5,1}}; covarianceMatrix=DiagonalMatrix[stdev].correlationMatrix.DiagonalMatrix[stdev]; dist=LogMultinormalDistribution[mu,covarianceMatrix]; rnd=RandomVariate[dist,10^4]; Correlation[rnd] The correlation-to-covariance transformation seems to be perfectly correct.But the sample correlation is radically different from the input correlation matrix: {{1., 0.0984389}, {0.0984389, 1.}} Why? What am I doing wrong? URL: ,

 Subject (listing for 'False covariance') Author Date Posted False covariance J. Karrey 05/13/13 06:44am Re: False covariance Peter Pein 05/21/13 2:21pm Re: False covariance Peter Pein 05/21/13 4:12pm
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