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- Thread starter gargi.adhikari
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So here Z(1) = ε(1) = -1.460 but Z(2) = -2.08, which is the random normal -1.520 transformed into a correlated-to-ε(1) random standard normal of -2.08.

But Z(1) and Z(2) are now just the embedded correlated standard normals, as the final step they are

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#3

Thanks @David Harper CFA FRM ....why the **Negative -1.460 **as in the number set it is provided as a +ve No ...?

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#5

Thanks so much for the clarification @David Harper CFA FRM ...thought I was missing something conceptually...

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#6

@David Harper CFA FRM A follow Up question on this Topic for Clarification...

*Slide # 1:*

Slide #1, says*Z1 & Z2* are the *Independent* Standard Normal Samples and we generate *Correlated Samples e1 & e2* from the *Independent samples Z1 & Z2* using the formula e2= rho* Z1 + Z2* SQRT(1-who^2) which is good

But Slide 2 while describing the numerical example says*e1 & e2* are the *Independent* Standard-Normal variables...when as per Slide *e1 & e2* should be *correlated*...

Could you please confirm if e1 & e2 are actually Correlated and generated as such..? Thanks - hope I am not missing something here... :-(

Slide # 2:

Slide #1, says

But Slide 2 while describing the numerical example says

Could you please confirm if e1 & e2 are actually Correlated and generated as such..? Thanks - hope I am not missing something here... :-(

Slide # 2:

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