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Question: Urgent

Question:Urgent

tbasket 486 Maple
June 16 2009
0

Dear experts I have an urgent problem: I used the cholesky to geerate random numbers First I generate R1 and R2 (normal distribution, mean1=mean2=120, std1=std2=40). Then I use R2*=R1*rho+squrt(1-rho^2)*R2 Now I have R1 and R2* with a correlation of rho. The problem iR2* does not have the same mean anymore. It has 160 instead of 120. Can you explain that or find my mistake? If I did one is there a solution to generate R1 and R2* with the mean like the origin R2? Best regrads
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