Mock dataset to test recoverability

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From Ilsang:

I am really curious if the output correlation coefficient recovers the intrinsic correlation coefficient within certain confidence interval. The correlation coefficient was defined by cov(X,Y)/{var(X)*var(Y)}, so you can easily generate random data points with given covariance matrix and you know what the input correlation coefficient is. If you do simulations of measuring correlation coefficient of the simulated dataset (using your program) with different sample size and measurement errors, how reliably can you recover the input correlation coefficient?

https://scipy-cookbook.readthedocs.io/items/CorrelatedRandomSamples.html