Re: Data Simulation from Correlation Matrix


Mike - EMAIL IGNORED wrote:
Can someone indicate where I can find the
mathematics and algorithm needed to generate
a simulated data matrix given a correlation
matrix and a random number generator?

Yes, That's one of the simplest problems in
simulation and the monte carlo methods -- find
you a book on it and follow that mathematics and
the algorithms there.

-- Reef Fish Bob.

Google led me to programs that will do it,
but no adequate explanation.

Thanks for your help.
Mike.

.

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