Generation of correlated random numbers: recommended article

February 29, 2012
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(This article was first published on Quant Corner » R, and kindly contributed to R-bloggers)

This quick blog entry to share an excellent article of Thijs van den Berg entitled Generating Correlated Random Numbers. This author describes in a nicely way how to generate sequences of correlated random numbers using the Cholesky decomposition, and a Eigenvector … Continue reading

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