Given two standard normal variables - e1 and e2 - both IID. Given also x and y, with correlation p between them.
Let x = e1 Then y = p*e1 + ((1-p)^.5)*e2 (I think) Here is my question: How do I extend this to the three variable case? In this case, there are three variables, x, y, and z with correlations Pxy, Pxz, and Pyz. You can have as many gaussian e disturbances as you want, but I think you'd only need e1, e2, and e3. I must be stupid, but I can't generalize from the two to the three variable case. Help! Thanks, Rishi . . ================================================================= Instructions for joining and leaving this list, remarks about the problem of INAPPROPRIATE MESSAGES, and archives are available at: . http://jse.stat.ncsu.edu/ . =================================================================
