mardi 24 mai 2016

Convert a bivariate draw in a univariate draw in Matlab

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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