I want to create a Monte Carlo simulation with 4 input parameters that are correlated with each other. The parameters have normal distributions and the variance/covariance matrix is known. Are there any R functions available to generate such correlated normal random variables? Bernard Sent from my iPhone so please excuse the spelling!"
Correlated sampling
2 messages · Bernard McGarvey, Rolf Turner
On 10/04/20 12:09 pm, Bernard Comcast wrote:
I want to create a Monte Carlo simulation with 4 input parameters that are correlated with each other. The parameters have normal distributions and the variance/covariance matrix is known. Are there any R functions available to generate such correlated normal random variables?
?MASS::mvrnorm ?mvtnorm::rmvnorm There may be others! cheers, Rolf Turner
Honorary Research Fellow Department of Statistics University of Auckland Phone: +64-9-373-7599 ext. 88276