Calculates the transformation matrix to generate multiple sequences of correlated random variables.
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Syntax |
Description |
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corrtransf(A); |
Calculate the transformation matrix to generate multiple sequences of correlated random variables given a correlation matrix A. |
Example
This is a simple example of the command.
A = [1,2;3,4]; ?corrtransf(cov(A)); result: -1 -1 -4.09555e-009 4.09555e-009
See Also