[R] How to simulate heteroscedasticity (correlation)
Jörg Groß
joerg at licht-malerei.de
Tue Jul 22 20:59:00 CEST 2008
Hi,
I would like to generate two correlated variables.
I found that funktion for doing that:
a <- rmvnorm(n=10000,mean=c(20,20),sigma=matrix(c(5,0.8*sqrt(50),
0.8*sqrt(50),10),2,2))
(using library(mvtnorm))
Now I also want to generate two correlated variables where the error
variance vary over the variable-correlation.
And I want to plot this for showing heteroscedasticity.
Like shown here:
http://upload.wikimedia.org/wikipedia/de/1/1b/Heteroske2.png
Is that possible with R?
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