generate_corr_data.py 文件源码

def generate_two_correlated_time_series(size, rho):
    num_samples = size
    num_variables = 2
    cov = [[1.0, rho], [rho, 1.0]]

    L = np.linalg.cholesky(cov)

    uncorrelated = np.random.standard_normal((num_variables, num_samples))
    correlated = np.dot(L, uncorrelated)
    x, y = correlated
    rho, p_val = stats.pearsonr(x, y)
    return x, y, rho