Positive correlation is not transitive!
<p>x, y and z are each N(0, 1). (Normal distribution, mean = zero, std = 1)
<br>x and y are correlated at 1/2.
<br>y and z are correlated at 1/2
<br>x and z are correlated at −1/2

<pre>gcc <a href=a.c>a.c</a> <a href=../../Hardware/Spectrum/rnd.c>rnd.c</a>
./a.out</pre>

The routine rnd() produces Random Normal Deviates, N(0, 1).
<br>
The program prints 3 columns, x, y and z;
the correlation matrix;
and then the three means.

<pre>…
-0.314 -0.929 -0.614
 1.094  1.380  0.287
 0.606  0.622  0.016
-1.390 -1.217  0.173
 0.898  0.609 -0.289
 0.150 -1.583 -1.732
-1.539 -1.773 -0.234
 1.383  0.140 -1.244
-0.517 -0.456  0.061
 1.294  1.805  0.512
 1.528  0.929 -0.599
 1.128  0.695 -0.433
 0.814  0.218 -0.596
-0.835 -0.521  0.314
 1.00970  0.50045 -0.50925
 0.50045  1.00047  0.50002
-0.50925  0.50002  1.00927

 0.00159 -0.01708 -0.01868</pre>