ad随机变量相关性的Cholesky 因子分解

相关系数矩阵：10.60.5

0.610.2

0.50.21

Cholesky因子分解：

方法1 Solver：100 方法21确认安装规划求解工具0.60.800.6

0.5-0.1250.8570.5

检验：10.60.5

0.610.2

0.50.21

关联独立正态随机变量：

RandV1RandV2RandV3相关系数矩阵：CRandV1CRandV2CRandV3

0.467-0.734 1.59010.016-0.0700.467-0.307 1.688

-0.719-1.0270.6990.0161-0.034-0.719-1.2540.368

0.555-0.8640.484-0.070-0.03410.555-0.3580.800

0.077-0.3910.1680.077-0.2670.231

2.2240.2270.497按住F9重新计算 2.224 1.516 1.510

-0.157-0.9730.794-0.157-0.8730.723

0.7530.525-0.7420.7530.872-0.325

-1.3310.447-0.625-1.331-0.440-1.257 -1.9230.998-0.021-1.923-0.355-1.104

0.285 2.3010.1840.285 2.0120.012

0.189-0.236-2.0740.189-0.075-1.653

-3.666-0.462 1.291-3.666-2.570-0.669

0.389-1.121-0.2250.389-0.6630.142

-0.150-1.1630.326-0.150-1.0200.350 -0.336-0.508-0.852-0.336-0.608-0.835 -1.1560.693 1.248-1.156-0.1390.405

1.2650.4760.429 1.265 1.1400.941

2.490-0.173 1.245 2.490 1.355 2.334

0.4550.2730.2400.4550.4910.399

-1.406-0.3620.598-1.406-1.134-0.145

0.5380.966 1.5830.538 1.096 1.505

1.5470.873 1.501 1.547 1.627 1.951

0.8710.044-0.1960.8710.5580.262

-0.4580.275-0.409-0.458-0.054-0.614

1.0830.6900.426 1.083 1.2020.821

0.042-0.385-0.8780.042-0.283-0.684

-0.920-0.265-2.503-0.920-0.764-2.572 -0.0520.4070.989-0.0520.2950.771 -0.779-0.311-0.080-0.779-0.716-0.419

1.826-0.4840.822 1.8260.709 1.678 -0.001-1.5460.763-0.001-1.2370.847 -0.908

2.159-0.847-0.908 1.182-1.450

0.635 1.626 1.4110.635 1.681 1.324

1.483 1.7430.824 1.483

2.284 1.230 0.1190.920-0.9380.1190.807-0.860

0.127-0.390-1.7110.127-0.236-1.354

1.920-1.242-1.772 1.9200.159-0.403 -0.6640.043-0.439-0.664-0.364-0.714 -1.717-

2.058 2.983-1.717-2.677 1.955 0.1250.3330.1590.1250.3420.158 -0.2610.551-0.990-0.2610.284-1.048 1.357-0.386-0.786 1.3570.5060.054 0.536-0.270 2.0470.5360.105 2.055 -0.9470.0050.220-0.947-0.564-0.286 1.1510.488-0.273 1.151 1.0810.280 0.878-1.3730.0870.878-0.5710.685 0.337-0.1720.4170.3370.0650.547 -1.485-0.0510.524-1.485-0.932-0.287 -0.932-0.5350.377-0.932-0.987-0.076 1.3360.663-1.275 1.336 1.332-0.507 0.2170.3320.1410.2170.3960.187 -0.487-2.167-0.235-0.487-2.026-0.174 0.120-1.328-0.3810.120-0.990-0.100 -1.190-0.546 1.088-1.190-1.1510.406 -2.318 1.1810.167-2.318-0.446-1.163 -0.462-0.1280.369-0.462-0.3790.101 0.7730.637-0.6210.7730.974-0.225 -0.2560.492-0.271-0.2560.240-0.421 -0.337 1.681-0.856-0.337 1.143-1.112 -1.007 1.8430.204-1.0070.870-0.559 -0.6270.788-1.154-0.6270.254-1.401 -1.1340.430-1.042-1.134-0.337-1.514 -0.825 1.8730.633-0.825 1.004-0.104 -2.1540.034-0.257-2.154-1.265-1.302 0.263-1.5590.5630.263-1.0890.808 -0.2380.318-0.605-0.2380.112-0.677 -1.056 1.0660.089-1.0560.219-0.585 -0.3640.421 1.138-0.3640.1180.741 -0.1730.633-1.590-0.1730.403-1.528 -1.294-0.025-1.458-1.294-0.796-1.893 -0.1780.9430.704-0.1780.6480.397 -1.6460.5350.569-1.646-0.560-0.402 -1.227-1.5980.444-1.227-2.014-0.033 -1.2570.2060.795-1.257-0.5890.027 -0.1350.7460.906-0.1350.5160.616 -2.192-0.137-0.769-2.192-1.424-1.738 0.179-0.520 1.6330.179-0.309 1.554 -1.4290.5720.721-1.429-0.400-0.168

0.298 1.1590.0830.298 1.1060.076

1.1070.1510.373 1.1070.7850.854 -0.942-1.6710.190-0.942-1.902-0.099 0.134-0.8480.3940.134-0.5980.511 -1.7220.263-0.253-1.722-0.823-1.111 -1.2000.3230.316-1.200-0.462-0.370

2.492 1.077-1.759 2.492 2.357-0.396 -0.9950.092-1.097-0.995-0.523-1.449 -2.268 1.151-0.497-2.268-0.440-1.704 0.211-0.119-1.3720.2110.032-1.055 0.193-2.180 1.2960.193-1.628 1.480