How many sets? If only two, then you can use this formula:
CRV2 = corr * RV1+ RV2 * (1 - corr ^ 2) ^ 0.5
If you want more than 2, it gets progressively more complicated.
I'd suggest an Internet search or try www.riskchat.com, where
somebody offered a VBA routine.
here is a good link: http://www.kellogg.nwu.edu/faculty/myerson/ftp/addins.htm#simt
See
CORAND(CorrelArray, RandSource), entered as an array formula in a
range of cells in a row, returns RANDom values for making random
variables that have correlations as in the given CorrelArray. (See
also NORMIZE.)
Also, if U and V are independent std normal then:
X=a + bU
Y=c + d*rho*U+d*sqrt(1-rho^2)*V
are bivariate normal.
boyd
Ask a Question
Want to reply to this thread or ask your own question?
You'll need to choose a username for the site, which only take a couple of moments. After that, you can post your question and our members will help you out.
