I am trying to do a montecarlo simulation for a lognormal process with known mean, variance and autocovariance
I have used logrnd to generate this process as:
y = lognrnd(mu,sigma,[1,simpara]); % where simpara is the simulation parameter so the length of the vector
now I want to introduce the autocovariance to y. I have tried the multiplication with covariance matrix but it seems that it doesn't work.
I am thinking about using the command filter but not sure how to set the nominator and donominator of the filter.
Could you please help me?
Thank you so much in advance