Anyone know of source code that can generate correlated samples for a
uniform distribution? In particular, we need to generate about 1000 samples
for 2000 random variables with a specified correlation matrix for the 2000
random variables.
A Fortran routine would be great! A Matlab solution would be ok too, or even
Mathematica.
(we are simulating periodic inspections on a gas turbine engine. The
inspections will be most likely highly correlated from inspection to
Inspection)
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