From help-octave-request at bevo dot che dot wisc dot edu Thu Jan 24 12:20:56 2002
Subject: Re: Correlating samples generated by randn
From: Dirk Eddelbuettel <edd at debian dot org>
To: Pascual Mu?oz Mu?oz <pascual at ieee dot org>
Cc: help-octave at bevo dot che dot wisc dot edu
Date: Thu, 24 Jan 2002 12:20:46 -0600

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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