How can I generate correlated standard normals?
J Jerry W. Lewis Nov 8, 2005 #2 Generate three N(0,1) variables, X2,X2,X3 Y1=a*X1+b*X3 Y2=c*X2+d*X3 where a^2+b^2=1=c^2+d^2. Y1 and Y2 are both N(0,1) with correlation b*d Jerry
Generate three N(0,1) variables, X2,X2,X3 Y1=a*X1+b*X3 Y2=c*X2+d*X3 where a^2+b^2=1=c^2+d^2. Y1 and Y2 are both N(0,1) with correlation b*d Jerry
