【 以下文字转载自 Mathematics 讨论区 】 发信人: rossby (五十岚已夜), 信区: Mathematics 标 题: a question about random number generator 发信站: BBS 未名空间站 (Thu Feb 7 11:28:25 2008), 转信 e.g., given a covariance matrix cov = [ 1 0.02 0.02 1] how to generate two random number series that have such covariance? let's make it more specific, two random numbers both follow normal distribution. I guess there must be an algorithm invented already by someone for such thing.
x*o
4 楼
百度如果有问题的话,那么三鹿时期,所有放奶粉广告的电视台岂不是都有问题
s*b
5 楼
not my major, just curious, covariance only can determine PDF?
【在 r****y 的大作中提到】 : 【 以下文字转载自 Mathematics 讨论区 】 : 发信人: rossby (五十岚已夜), 信区: Mathematics : 标 题: a question about random number generator : 发信站: BBS 未名空间站 (Thu Feb 7 11:28:25 2008), 转信 : e.g., given a covariance matrix : cov = [ 1 0.02 : 0.02 1] : how to generate two random number series that have such covariance? : let's make it more specific, two random numbers both follow normal : distribution.
【在 r****y 的大作中提到】 : 【 以下文字转载自 Mathematics 讨论区 】 : 发信人: rossby (五十岚已夜), 信区: Mathematics : 标 题: a question about random number generator : 发信站: BBS 未名空间站 (Thu Feb 7 11:28:25 2008), 转信 : e.g., given a covariance matrix : cov = [ 1 0.02 : 0.02 1] : how to generate two random number series that have such covariance? : let's make it more specific, two random numbers both follow normal : distribution.