Simulating variables with predefined correlation and autocorrelation

Dear Amitha,

If understand your query correctly, you could also have a look at my
preprint on Monte Carlo simulations of different spatial regression models:
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/5630.

The replication materials are online available (
https://github.com/ruettenauer/Reproduction-Material-Spatial-Monte-Carlo-Experiments).
The '01_Monte Carlo Simulation Spatial_Program.R' scipt provides a function
to set up data with different constellations of autocorrelation. Maybe the
code is useful for your purposes as well.

Best,
Tobias


-----Original Message-----
From: R-sig-Geo <r-sig-geo-bounces at r-project.org> On Behalf Of Amitha
Puranik
Sent: 22 August 2019 17:19
To: r-sig-geo at r-project.org
Cc: c8a2375d-efb5-2ebe-7b3b-ac966d188f53 at cirad.fr
Subject: Re: [R-sig-Geo] Simulating variables with predefined correlation
and autocorrelation

Dear Prof. Bivand,



Thanks a lot for responding and providing the material to read. I will
definitely go through your paper and the references cited in it.

I am working on simulating various scenarios where autocorrelation exists
in Y or X or both and also in the residuals and compare the model
performances on these data. At present I have planned to assign same
weights (distance based) for both X and Y. I have found solution to
simulate autocorrelated Y based on your response in the link (
https://stat.ethz.ch/pipermail/r-sig-geo/2011-September/012728.html). But
I have not found a way to induce autocorrelation in even the independent
variables(s). Hence I posted this query. Thanks in advance.

Regards,

Amitha Puranik.















On Thu, Aug 22, 2019 at 7:06 PM Roger Bivand <Roger.Bivand at nhh.no> wrote:

Could you please explain why you want to do this and whether you want
to use the same weights for y and x? Maybe refer to
https://doi.org/10.1111/j.1538-4632.1991.tb00235.x and work referred
to there; I'll try to find other references later.

Roger Bivand
Norwegian School of Economics
Bergen, Norway



Fra: Amitha Puranik
Sendt: torsdag 22. august, 12.41
Emne: Re: [R-sig-Geo]  Simulating variables with predefined
correlation and autocorrelation
Til: c8a2375d-efb5-2ebe-7b3b-ac966d188f53 at cirad.fr
Kopi: r-sig-geo at r-project.org


Dear Prof Facundo Mu?oz, Thank you for a quick response. I am sorry
for not phrasing my query clearly. I am interested to simulate 2
variables Y and X in such a way that the resultant variables should
possess the correlation coefficient of 0.6 between Y and X and
autocorrelation of 0.7 in Y and 0.4 in X. The query posted in the link
(
https://stat.ethz.ch/pipermail/r-sig-geo/2011-September/012728.html)
focussed on only the autocorrelation of Y (spatial lag model) whereas
I would like to introduce some autocorrelation in X too (spatial
durbin model). Is there a way to do this? Should a covariance
structure defining both correlation and autocorrelation be specified
while simulating variables? If so, how to define such covariance
structure? I will be grateful for your assistance. Thanks in advance.
Amitha Puranik [[alternative HTML version deleted]]

        [[alternative HTML version deleted]]