Correlations for several variables

[Mark Neal]

Yasaiw allows for some basic correlations between variables, but I'm not 100% sure that it will be consistent between a number of variables where you want to impose a matrix of user defined correlations.

If anyone is interested in doing this manually, or (even better) programming into VBA and releasing back to open source, I have attached a spreadsheet (attached) that details going about this.

1. Firstly you need: "Defining correlation matrix and check for consistency" That sheet goes through the process of checking for consistency and then adjusting (similar to @risk for example).
2. Then you follow up with: "Imposing rank correlation on randomly distributed variables" That sheet does the rest of the work. 

Presumably the data generated this way could be used with a gentable (Yasai) or gencfd (Yasiaw) function.

The spreadsheet uses a linear matrix algebra add in for the matrix algebra (matrix.xla attached, also need funcustomize.dll attached, manual/description/installation instructions pdf attached)

Cheers,

M