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Topic: Normal variates with correlation (lagged 1 step)
Replies: 0

 David E. Burmaster Posts: 16 Registered: 12/7/04
Normal variates with correlation (lagged 1 step)
Posted: Apr 4, 1997 2:19 AM

Dear MathGroup

How can I use the random number generator(s) in Mma to generate a string of
N=2000 Normal variates (with a mean mu and standard deviation sigma)
that have, on average, a correlation of rho between the immediately
adjacent values. In other words, I want the variates lagged by one time
step to have a correlation of -1 < rho < 1.

I am particularly interested in two values:

rho = +0.85 and

rho = -0.85

Thank you for your help.

Dave

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