Generation of correlated random numbers - Maple Application Center
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Generation of correlated random numbers

Author
: I. Hlivka
Engineering software solutions from Maplesoft
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This application is an extension of an earlier document on multivariate distributions and demonstrates how Maple can be used to generate random samples from such distribution. In a narrow sense, it presents the tool for generation of correlated samples. The sampling need for multi-factor random variables (RV) with a given correlation structure arises in many applications in economics, finance, but also in natural sciences such as genetics, physics etc. and here we show that such task can be accomplished with ease using Maple’s Statistics and Linear Algebra packages.

Application Details

Publish Date: December 03, 2010
Created In: Maple 14
Language: English

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