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From: Kay Zhang on 20 Apr 2010 06:44
I tried to use mvnrnd to create a random component distributed on N(0,sigma^2). But I am not sure the "sigma" in mvnrnd is covariance matrix or correlation matrix? According to the definition in Matlab help, it is covariance matrix, but actually I doubt it is correlation matrix.
From: Peter Perkins on 20 Apr 2010 08:50
On 4/20/2010 6:44 AM, Kay Zhang wrote:
> I tried to use mvnrnd to create a random component distributed on
> N(0,sigma^2). But I am not sure the "sigma" in mvnrnd is covariance
> matrix or correlation matrix? According to the definition in Matlab
> help, it is covariance matrix, but actually I doubt it is correlation
> matrix.

MVNRND accepts a covariance matrix. Every correlation matrix is also a covariance matrix, for variables that all have variance 1. If you pass MVNRND a correlation matrix, then you'll be generating values fromjust such a standardized distribution.

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