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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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