# Questions tagged [cholesky]

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### Getting sets of random correlated variables

For the training of a machine learning model I need to add additional features (macro variables), and these features are correlated. I need to run the model N times, and for each time I have to add ...
1k views

### Monte Carlo - Multivariate Simulation of Returns

I am implementing a Monte Carlo simulation in R to generate multivariate correlated returns. In doing this I have used the Cholesky decomposition, applied to the covariance matrix. However, I saw that ...
312 views

### Expectation and Cholesky Decomposition

Assume that the random vector $(X,Y)$ is (bivariate) normally distributed. Show that $$\Bbb E[X|Y=y]= \Bbb E[X]+ \frac {Cov[X,Y]}{Var[Y]}(y-\Bbb E[Y])$$ Also, $$Var[X|Y=y]= (1-\rho^2) Var[X]$$ I ...
67 views

### Multivariate normal when Cholesky decomp fails on Sigma

I'm trying to do multivariate distributions of returns on buckets where all the returns are at least 0.6 correlated at a 95% confidence level. I have the buckets, but their Sigmas cannot be decomposed ...
463 views

### Adding Asset Weights To Cholesky Output - Monte Carlo in VBA

I am looking to create a Monte Carlo generator in Excel to plot correlated asset paths for a portfolio containing 1 to 10 assets. I have the correlation matrix for all 10 assets and have performed the ...
351 views

### Correlated random variables with additional autocorrelation - multi dimensional Cholesky?

For my thesis I'm currently generating several time series of random numbers, so far so good. Now I realized some autocorrelation in the series as well and don't really know how to cope with it. Can I ...
2k views

### Cholesky Decomposition on Correlation Matrix for Correlated Asset Paths

I found a matlab example for modelling correlated asset paths: http://www.goddardconsulting.ca/matlab-monte-carlo-assetpaths-corr.html In this model the author uses the matlab code chol() in order to ...