Monte Carlo Simulation, Iman Conover Python, Correlated Distributions, Deep Dives, Thoughts And Theory.
column of normal scores. Compute the correlation matrix E of this score matrix M. Apply a Cholesky decomposition to it to get its upper Cholesky triangle F. Tie the matrices together via multiplication: T = M * inv(F) * C. This matrix T has precisely the targeted correlation structure. Generate a