What is: cdfn(sqrt(rho)*rndn(1,Ns) + sqrt(1-rho)*rndn(N,Ns))

[Bill Denney]

Jaroslav Hajek wrote:
> On Mon, Jun 16, 2008 at 5:58 PM, pierrreg
> <pierre.gazzano at morganstanley.com> wrote:
>   
>> I don't know if this code is an Octave code, but if it is, I would like to
>> know what this code does:
>>
>> cdfn(sqrt(rho)*rndn(1,Ns) + sqrt(1-rho)*rndn(N,Ns))
>>
>> I guess that cdfn is the cumulative distribution function
>> and rndn is a random generator that generates a random variable between 0
>> and 1.
>>
>> assuming that Ns=1000, N=100, rho=0.5
> rndn could be randn - normal random number generator. I have no idea
> what "cdfn" could correspond to.
>   
I would guess that cdfn is looking for a cumulative distribution 
function.  It appears that the goal is to have an experimental 
cumulative distribution function (as opposed to a theoretical one).  To 
do that, you're probably wanting the function cumsum.  If you're wanting 
the theoretical cdf (i.e. one where you would provide a mean and 
standard deviation), you may want something like normcdf (or for a 
non-normal distribution, there are others).

Have a good day,

Bill