Search found 3 matches

by Simon Mathieu
Wed Jun 29, 2016 5:04 pm
Forum: Other Time Series Analysis
Topic: Cholesky decomposition-Monte Carlo simulation
Replies: 5
Views: 9421

Re: Cholesky decomposition-Monte Carlo simulation

Thanks again Tom, Wow I am definitely not ready to process all this, which is why I am gonna read a few articles and continue my research (learning) specifically on those matter. I will probably ask you and the people of the forum some questions later. But before I go, just teasing myself I guess, y...
by Simon Mathieu
Wed Jun 29, 2016 11:10 am
Forum: Other Time Series Analysis
Topic: Cholesky decomposition-Monte Carlo simulation
Replies: 5
Views: 9421

Re: Cholesky decomposition-Monte Carlo simulation

Thanks Tom! To be honest with you I have difficulties processing what you have said. I'm quite a beginner in those kind of things. Tell me if I'm wrong, but if I understand correctly the computation I posted earlier would work if the relation between the two variables (the multivariate distribution)...
by Simon Mathieu
Wed Jun 29, 2016 9:14 am
Forum: Other Time Series Analysis
Topic: Cholesky decomposition-Monte Carlo simulation
Replies: 5
Views: 9421

Cholesky decomposition-Monte Carlo simulation

Hi there, I went on the wikipedia page looking for a method to correlate two random variables in a Monte-Carlo simulation. Here is the method they show (simplified example) You have two random variables z1 and z2 distributed normally . Once you found the good correlation coefficient (rhô) for the re...