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Q: Simulating a vector that as known variance matrix ( Answered 5 out of 5 stars,   0 Comments )
Subject: Simulating a vector that as known variance matrix
Category: Science > Math
Asked by: mathdumbie-ga
List Price: $25.00
Posted: 28 Oct 2006 21:13 PDT
Expires: 27 Nov 2006 20:13 PST
Question ID: 777962
How would you simulate a vector or random variables that has a known
mean vector and a known variance-covariance matrix?
Subject: Re: Simulating a vector that as known variance matrix
Answered By: hedgie-ga on 29 Oct 2006 07:34 PST
Rated:5 out of 5 stars

easy way is this:

1) Take n independent normal variables with variance 1 and mean 0

n is dimension of your linear space
arrange them inro a vector v

2) make a linerar transformation    X.i =  L.i/j * v.j

3) L is a matrix which you get by diagonalising your given variance (or rather
it's inverse)

4) X.i = X.i + B.i   will chage means as needed.

re 3)

re 1)
Hope this will work for you

mathdumbie-ga rated this answer:5 out of 5 stars
Complete and concise answers.  Perfect.

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