I have a predefined correlation matrix for N variable and want to generate time series for these variables satisfying their correlation. The time could be of any number of data points (i.e., 300).
I tried as follows but couldn't preserve the correlation of all N variable.
Any suggestion(s) or already written script(s) in MATLAB, R or Python will be much appreciated.
The correlation matrix is essentially x'x in correlation form. Since this looks like a take home problem I'll leave anything else needed to you. Best wishes David Booth PS I haven't thought about it deeply so this a suggestion for starting your work.
Time series data is usually dependent on time. Pearson correlation, however, is appropriate for independent data. This problem is similar to the so called spurious regression. The coefficient is likely to be highly significant but this comes only from the time trend of the data that affects both series.
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