how to generate three series, whose covariance are not zero?

[tony]

I want to generate x1,x2,x3, whose means are all 0, and their covariance matrix are
[10 2 5
0 1 4
2 3 9]
How to do that in EViews 7
Thanks!

[EViews Gareth]

http://en.wikipedia.org/wiki/Multivaria ... stribution

[tony]

Is there any available function in EViews 7 to do this?

[EViews Gareth]

There is no function to randomly draw from a multivariate normal distribution, no. But you can find the cholesky decomposition of a matrix, using @cholesky, so implementing the standard technique is pretty simple.

[EViews Gareth]

http://forums.eviews.com/viewtopic.php? ... 74&p=14800