Generation of correlated random numbers: recommended article
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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 Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.
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