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Dear Allstat Users, I have been asked to write the information collected about the genearation of triplets of correlated stochastic variables. Following the indications obtained from the list users I have solved the problem as follows: Given the variance/covariance matrix C and the vector mean mu of the three stochastic variables: - decompose C = AA' through Cholesky decomposition; - generate a triplet of uncorrelated random numbers picked from the three distributions - compute y = Ax + mu - y is normal with vector mean mu and variance/covariance matrix S. You can find a procedure for that in the IMSL libraries (random_normal_multivariate) Barbara Marcolla ______________________________________________________ Get Your Private, Free Email at http://www.hotmail.com %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%