Monte Carlo Simulation, Iman Conover Python, Correlated Distributions, Deep Dives, Thoughts And Theory.
S with the pairwise correlation structure you want to impose on the variables. Apply a Cholesky decomposition to it (from scipy.linalg import cholesky) to get an upper triangular matrix C. Create a vector v of standard normal quantiles, scipy.stats.norm.ppf(i/(N+1). Divide the quantiles by the