Paolo Toccaceli ptocca
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/ FasterSparseManhattan.ipynb
Created
July 11, 2019 16:16
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ptocca
/ gist:c1adb171149bfdd23143722fa0e1b988
Last active
November 28, 2017 20:30
Generate random variates with given correlation
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| # Paolo Toccaceli, 2017-11-28 | |
| import numpy as np | |
| import scipy.stats as ss | |
| def Iman_Conover(X_orig,S): | |
| """Given a matrix X_orig with n samples of random variables from r distributions and a correlation matrix S, | |
| this function outputs a matrix of n samples of r random variables with the same marginal distributions | |
| as the input, but with correlation as close as possible to S | |