Message-ID: <4056389d0902020815u15735822x6d78b22107aefcfa@mail.gmail.com>
Date: 2009-02-02T16:15:55Z
From: eric lee
Subject: how to generate multiple random variables that are correlated
Hi.
I have two variables, x and y, that are each normally distributed with
mean 0 and have known standard deviations. The variables also have a
known correlation, so I can represent their correlations in a matrix
like so:
a <- array(c(0.3,0.1,0.1,0.2),c(2,2))
a
Is there an R function that generates random values for my two
variables given the correlation? I'd like to do this for up to 5
variables and I'm running version 2.7.2 on a windows platform.
Thanks.
eric