Draw two correlated normal shocks using the MVNRND function. Draw two correlated normal shocks from uniform random variables using Cholesky Decomposition.
We have English and Math scores, and we draw from a bivariate normal distribution, assuming the two scores are positively correlatd. These are \(x_1\) and \(x_2\).
% mean, and varcov ar_mu = [70,80]; mt_varcov = [8,5;5,5]; % Generate Scores rng(123); N = 10000; mt_scores = mvnrnd(ar_mu, mt_varcov, N); % graph figure(); scatter(mt_scores(:,1), mt_scores(:,2)); ylabel('English Scores'); xlabel('Math Scores') grid on;