Generating data with a given sample covariance matrix

Ugliest Unicorn answered on December 4, 2021 Popularity 5/10 Helpfulness 1/10

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X = randn(n, d);
X = bsxfun(@minus, X, mean(X));
X = X * inv(chol(cov(X)));
X = X * chol(Sigma);

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Tags: covariance-matrix whatever

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Contributed on Dec 04 2021

Ugliest Unicorn

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