rcornorm: Generate a vector of two correlated standard Gaussian RVs
In shill1729/findistr: Common distributions used in finance
rcornorm R Documentation
Generate a vector of two correlated standard Gaussian RVs
Description
Uses the Cholesky decomposition on the 2x2 matrix
to simulate a vector of two correlated standard normals.
Usage
rcornorm(n, rho)
Arguments
n
number of vectors to simulate
rho
the correlation factor
Value
numeric vector/matrix
shill1729/findistr documentation built on May 20, 2024, 9:43 a.m.
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| rcornorm | R Documentation |
Generate a vector of two correlated standard Gaussian RVs
Description
Uses the Cholesky decomposition on the 2x2 matrix to simulate a vector of two correlated standard normals.
Usage
rcornorm(n, rho)
Arguments
n |
number of vectors to simulate |
rho |
the correlation factor |
Value
numeric vector/matrix
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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