[R] generating a random signal with a known correlation

[Pedro.Rodriguez at sungard.com]

Hi Yasir,

Try the following reference:

A heuristic approach for the generation of multivariate random samples
with specific marginal distributions and correlation matrix, Dimos C.
Charmpis and Panayiota L. Panteli, Computational Statistics 19, 283-300,
2004.

I have the R code, please let me know if you need it, I will more than
happy to post it online. Nonetheless, soon I will create an add-on
package. 

Rmvnorm assume a multivariate normal distribution, the method from above
is flexible enough to mix marginals. 

Kind Regards,

Pedro  

-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org]
On Behalf Of Yasir Kaheil
Sent: Monday, August 11, 2008 3:58 PM
To: r-help at r-project.org
Subject: [R] generating a random signal with a known correlation


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
-- 
View this message in context:
http://www.nabble.com/generating-a-random-signal-with-a-known-correlatio
n-tp18932541p18932541.html
Sent from the R help mailing list archive at Nabble.com.

______________________________________________
R-help at r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.