o******e
发帖数: 74 | 1 如何用uniform的随机数产生两个相干系数为\pho的正态分布的随机数呢？据说copula
可以做到。请教大牛一下具体的步骤。我查了wiki但是仍然没有理解如何产生符合要求
的随机数。
谢谢先！ | p*****k
发帖数: 318 | 2 ondouble, to generate correlated Gaussian random #s from
uniforms, one just needs box-muller:
http://en.wikipedia.org/wiki/Box%E2%80%93Muller_transform
then a simple rotation.
i believe what you heard is to generate correlated uniform
random #s. copula is definitely one approach, see:
http://www.mitbbs.com/article_t/Quant/31176232.html
but there are other simpler ways, see:
http://www.wilmott.com/messageview.cfm?catid=26&threadid=61763
note the existence of vastly different methods are due to
t | o******e
发帖数: 74 | 3 Thank you very much, pcasnik! Those are very good references! | z****g
发帖数: 1978 | 4 correlation can't uniquely define a copula.
Copula is more general than correlation.
copula
【在 o******e 的大作中提到】
: 如何用uniform的随机数产生两个相干系数为\pho的正态分布的随机数呢？据说copula
: 可以做到。请教大牛一下具体的步骤。我查了wiki但是仍然没有理解如何产生符合要求
: 的随机数。
: 谢谢先！
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