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how to generate three series, whose covariance are not zero?
Posted: Thu Dec 06, 2012 8:54 pm
by 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!
Re: how to generate three series, whose covariance are not z
Posted: Thu Dec 06, 2012 11:20 pm
by EViews Gareth
Re: how to generate three series, whose covariance are not z
Posted: Fri Dec 07, 2012 10:05 am
by tony
Is there any available function in EViews 7 to do this?
Re: how to generate three series, whose covariance are not z
Posted: Fri Dec 07, 2012 10:12 am
by 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.
Re: how to generate three series, whose covariance are not z
Posted: Fri Dec 07, 2012 10:14 am
by EViews Gareth