Name

CL_covDraw — Draw samples from covariance

Calling Sequence

   [drawnValues] = CL_covDraw(meanValues,cov,N)
   
   

Description

  • Computes N randomly drawn samples of P correlated variables using Cholesky factorisation. Correlation between variables is given by the covariance matrix (cov) . The expectation or mean of each variable is also needed (meanValues).
  • Last update : 19/11/2009

Parameters

meanValues:

vector of expectation or mean values (Px1)

cov:

covariance matrix

N :

number of random samples to draw

drawnValues:

matrix containing N randomly drawn samples of P correlated variables (PxN)

Authors

CNES - DCT/SB

See also

CL_cov2cor

Examples

//draw 10000 samples of position parameters given the covariance matrix.
pos =  [-1877901 -3909428 -5026025]'; //position
cov = [1.0 -0.46 -0.44;-0.46 1.0 -0.43;-0.44 -0.43 1.0];
[drawn_pos] = CL_covDraw(pos,cov,10000);  //draw values randomly