lundi 30 septembre 2019

MATLAB: How to generate Gamma random variables with known correlation coefficients

If I know the correlation coefficient between any two Gamma random variables Xi and Xj as rho_ij, I am wondering how I can generate the set of N Gamma distributed random numbers of X1...XN using MATLAB.

For example, my correlation coefficient matrix is

rho=[1 0.5 0.7; 0.5 1 0.4; 0.7 0.4 1]

Then, I need X1, X2, and X3.

If anyone has idea or any useful answer anywhere, please share with me.




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