Zero Mean White Gaussian Noise with Covariance Matrix Given

I need to generate a zero mean white gaussian noise (vk, 3x1) with the covariance matrix as .

This is what I did:

noise = rand(3,1);
cmatrix = cov(noise);
vk = cmatrix*noise;

Answer 1

[Bjorn Gustavsson]

Check the help and documentation for mvnrnd.

HTH