uncorrelated Normal deviates
Posted: 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