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 Author Comment/Response Peter Pein 05/21/13 4:12pm Hi, even if I define: mu = {4, 5}; stdev = {3, 2}; With[{sq = Sqrt[(1 + E) (1 + E^2) (1 + E + E^2) (1 + E^3 + E^6)]}, correlationMatrix = {{1, v}, {v, 1}} /. v -> 1/6 Log[1/2 (2 + (E - 1) sq)] ]; covarianceMatrix = DiagonalMatrix[stdev].correlationMatrix.DiagonalMatrix[stdev]; dist = LogMultinormalDistribution[mu, covarianceMatrix]; and Correlation[dist] // Simplify gives {{1, 1/2}, {1/2, 1}}, then SeedRandom[123]; tbl = ParallelTable[ Correlation[RandomVariate[dist, 10^4]][[1, 2]], {i, 10^4}]; has got the mean value 0.806835. It seems, I misunderstood something too :( but at least the correlation of the distribution is OK :-\ Peter 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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