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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