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uncorrelated Normal deviates

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gelfand
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Posts: 14
Joined: July 14th, 2002, 3:00 am

uncorrelated Normal deviates

February 18th, 2003, 4:34 pm

Suppose I want to generated standardized, uncorrelated, multivariate normal deviates in array x(:,, whereeach column contains samples of a standardized normal. How do I orthogonalize the columns?Mathematically, I want x(:, of dimension n, m with the propertiessum(i=1,n) x(i,j)*x(i,k) = 1 if i = j 0 if i /= j
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Lestat
Posts: 0
Joined: February 5th, 2003, 4:46 pm

uncorrelated Normal deviates

February 18th, 2003, 4:42 pm

Have you proved with Gram-Schmidt?
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chiral3
Posts: 11
Joined: November 11th, 2002, 7:30 pm

uncorrelated Normal deviates

February 18th, 2003, 4:48 pm

Gram-Schmit ON
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