[R] generating a random signal with a known correlation

[stephen sefick]

sowas package by douglas mauran.  Type sowas into google.

On Tue, Aug 12, 2008 at 12:14 AM, Yasir Kaheil <kaheil at gmail.com> wrote:
>
> OK, here is the code for those who are interested:
> x<-rnorm(1000, mean=20, sd=100);
> x.s<-scale(x)
> xp<-pnorm(x.s);
> xix<- sort(xp,index.return=TRUE)$ix
> norm.cop <- normalCopula(0.6) #correlation of 0.6, other libraries can be
> used instead of copula
> y <- rcopula(norm.cop, length(x))
> yp<-pnorm(y)
> ypix<- sort(yp[,1],index.return=TRUE)$ix
> yp<-yp[ypix,];
> yps<-yp[,1];# dummy initialization
> yps[xix]<-yp[,2];
> #adjust mean and sd here.
> yqs<-qnorm(yps,mean=mean(x),sd=sd(x));
>
> cor(x,yqs)
>
>
>
>
> Yasir Kaheil wrote:
>>
>> Hi,
>> How can I generate a random signal that's correlated with a given signal
>> at a given correlation (say 0.7)?
>> I've been looking at rmvnorm etc but don't seem to figure it out. Thanks
>>
>>
>
>
> -----
> Yasir H. Kaheil
> Columbia University
> --
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>
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