SET NOECHO
PROC MULTI  
* INPUTS: [SIGMA] DESIRED COVARIANCE MATRIX
*        [N] SAMPLE SIZE
* OUTPUT: [MRAN] MATRIX OF RANDOM NUMBERS
* Do a Cholesky factorization of the Sigma Matrix
MATRIX P_=CHOL([SIGMA]) 
?GEN1 K_=$ROWS
PRINT P_ 
* Check it out 
MATRIX CHECK_=P_*IDEN(K_)*P_' 
PRINT CHECK_ 
* Now use the P_ matrix to generate MRAN
SAMPLE 1 [N] 
MATRIX E_=NOR([N],K_)
MATRIX [MRAN]=E_*P_' 
* Check the sample covariance of the orignal independent random numbers 
STAT E_ / PCOV 
* Now check the sample of correlated random numbers 
STAT [MRAN] / PCOV 
DELETE / ALL_
PROCEND
SET ECHO