how to generate a vector of uncorrelated random varaibles
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Hi all, I like to generate a vector of uncorrelated random variables in matlab? is anyone have some suggestion to me? Thanks
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Oleg Komarov
el 6 de Feb. de 2012
Any distribution centered on 0 will yield uncorrelated vectors as long as you have enough observations:
v = rand(1e5,2);
corr(v)
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Tom Lane
el 6 de Feb. de 2012
Most MATLAB random number generators (rand, randn, others) will generate arrays in which the columns are theoretically uncorrelated. That is, any sample correlation between them is just random. Only a few functions (mvnrnd) generate data with theoretical correlation.
If you need exactly zero sample correlation, then you'll probably have to impose that yourself. That will make the samples no longer independent, though.
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