[R] factor analysis backwards

[Chuck Cleland]

Stefan Premke wrote:
> Hello!
> How can I do a factor analysis backwards to get an arbitrary covarianz 
> matrix out of an arbitrary number of generated random variables that 
> have a correlation near zero. Or the same question shorter: How to 
> generate random variables that have a spezial correlation pattern.
> I would like to be able to do this to generate arbitrary data structures 
> for simulation purpose

I'm not sure what you mean by "arbitrary", but have a look at mvrnorm() 
in packages MASS.  For example:

library(MASS)
cor(mvrnorm(n = 300, mu=rep(0,4), Sigma=diag(4)))

             [,1]        [,2]        [,3]        [,4]
[1,]  1.00000000 -0.00524425 -0.04464669 -0.01223580
[2,] -0.00524425  1.00000000 -0.08920532 -0.10521937
[3,] -0.04464669 -0.08920532  1.00000000 -0.05316380
[4,] -0.01223580 -0.10521937 -0.05316380  1.00000000

> sincerely
> stefan
> 
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Chuck Cleland, Ph.D.
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