I have in mind the following experiment to run in Matlab and I am asking for an help to implement step (3). Any suggestion would be very appreciated.
(1) Consider the random variables X
and Y
both uniformly distributed on [0,1]
(2) Draw N
realisation from the joint distribution of X
and Y
assuming that X
and Y
are independent (meaning that X
and Y
are uniformly jointly distributed on [0,1]x[0,1]
). Each draw will be in [0,1]x[0,1]
.
(3) Transform each draw in [0,1]x[0,1]
in a draw in [0,1]
. Is there any function doing this? After some readings, I believe that a space filling curve would do what I want. I found this answer which seems perfect for my question, if it were not for the fact that the algorithm is not written in Matlab language. Is there any pre-built package in Matlab doing the same?
(4) Repeat (2) and (3) imposing some correlation between X
and Y
.
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