Generation of correlated random numbers: recommended article

[This article was first published on Quant Corner » R, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here)
Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.

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

To leave a comment for the author, please follow the link and comment on their blog: Quant Corner » R.

R-bloggers.com offers daily e-mail updates about R news and tutorials about learning R and many other topics. Click here if you're looking to post or find an R/data-science job.
Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.

Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)