simulate the data set having the same covariance matrix
library(MASS) ?mvrnorm Note the 'empirical' argument.
On Sat, 13 Aug 2005, Glazko, Galina wrote:
I have the set of multidimensional vectors X1,.,Xn and I need to simulate the data set having the same covariance matrix, as for X1,.., Xn. Do someone know how it can be done in R? I appreciate your help.
Brian D. Ripley, ripley at stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595