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Question: How to sample correlated Random Variables?

Question:How to sample correlated Random Variables?

pake 15 Maple
statistics distribution correlation sample randomvariable
July 27 2016
3

Hi everyone,

I've not been able to figure this one out. Say I have an expression dependant on two random variables, like this:

C:=A+B

where A and B are randomvariables, each following a specific distribution.

If I ask for a Sample of C

Sample(C,1)

Maple will sample A, sample B and compute C. But say that A and B are correlated (with a cc of 0.8). How do I define this?

Thanks in advance

 
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