Nov 20

[Matlab] Generating random numbers with given covariance matrix

AI, Matlab Add Comment (0)

We are given a covariance matrix, and we’d like to generate n vectors, whose coordinates’ covariance matrix is equal to given. We also like each coordinate to have given mean.
Here is a code:

function numbers = randomcov(n, covMatrix, offset)
    x=randn(n,length(covMatrix(1,:)));
    numbers = x*inv(chol(cov(x)))*chol(covMatrix);
    for i=1:length(offset)
        numbers(:,i) = offset(i)+numbers(:,i)-mean(numbers(:,i));
    end
end

Usage:
n – number of vectors to generate
covMatrix – given covariance matrix
offset – vector of means of each coordinate

Example:

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May 10

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AI Add Comment (0)

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