An algorithm of Simulation of Set of Random Variables with Predefined Correlation Structure

Abstract

Aricle is dedicated to the problem of generation of simulated data under the predefined internal correlation structure. Methodology is based on Gram Smith orthogonalization process and Cholesky decomposition of special type of positive definite symmetric matrices. All necessary steps with programming implementation are presented.At the end of article, tables of results of simulated data is presented and programming codes is also appended in appendix parts

Keywords: Cholesky Decomposition, Gram-Smith Orthogonalization, Positive Definiteness