Simulations with Exact Means and Covariances

Version 1.1.0.0 (2.3 KB) by Attilio Meucci
Exact multivariate normal simulation
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Updated 9 May 2011

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Multivariate normal simulations where sample mean and covariances match the respective population moments, refer to
A. Meucci (2009), "Simulations with Exact Means and Covariances",

Latest version of article and code available at http://symmys.com/node/162

Cite As

Attilio Meucci (2024). Simulations with Exact Means and Covariances (https://www.mathworks.com/matlabcentral/fileexchange/24416-simulations-with-exact-means-and-covariances), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2006b
Compatible with any release
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Version Published Release Notes
1.1.0.0

updated references
1.0.0.0