[R] generating a random signal with a known correlation

Pedro.Rodriguez at sungard.com Pedro.Rodriguez at sungard.com
Thu Aug 21 14:46:32 CEST 2008

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,

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

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

Kind Regards,


-----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

How can I generate a random signal that's correlated with a given signal
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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