I am trying to generated 3 different 1 x 500 size vector random correlated series. I do have their covariance matrix.
I am following this example from scipy to generate correlated random numbers.
Why is this process different from using built in module from numpy?
Serving the Quantitative Finance Community
-
- doublebarrier2000
- Posts: 15
- Joined:
Re: Correlated random numbers using cholesky vs multivariate normal random number
scipy will give you correlated N(0,1) whereas the numpy will give yu the correlated RVs with the correct mean and stdev