[R] Uncorrelated random vectors

[Greg Snow]

Here are some examples that may get you started (note that there is no guarantee that a variable follows a given distribution after it has been adjusted to have 0 correlation with another variable):

library(MASS)
tmp <- mvrnorm(25, c(0,0), diag(2), empirical=TRUE)
zapsmall(cor(tmp))

tmp2 <- exp(tmp)
zapsmall(cor(tmp2))

x <- rexp(100, 3)
y <- rexp(100, 2)
par(mfrow=c(2,1))
plot(x,y)
tmp3 <- cbind(x,y)
zapsmall(cor(tmp3))



tmp4 <- tmp3 %*% solve(chol(var(tmp3)))
zapsmall(cor(tmp4))
plot(tmp4)
hist(tmp4[,1])
hist(tmp4[,2])
plot(tmp4[,1], x)
plot(tmp4[,2], y)


Hope this helps,

-- 
Gregory (Greg) L. Snow Ph.D.
Statistical Data Center
Intermountain Healthcare
greg.snow at imail.org
801.408.8111


> -----Original Message-----
> From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-
> project.org] On Behalf Of Stein, Luba (AIM SE)
> Sent: Tuesday, July 07, 2009 8:26 AM
> To: ONKELINX, Thierry; r-help at r-project.org
> Subject: Re: [R] Uncorrelated random vectors
> 
> Thank you for your help!
> But is it possible to produe two vectors x and y with a given length
> such that there correlation is zero.
> 
> For me ist not enough just to simulate two vectors with there
> correlation.
> 
> Thank you,
> Luba
> 
> 
> 
> 
> -----Urspr?ngliche Nachricht-----
> Von: ONKELINX, Thierry [mailto:Thierry.ONKELINX at inbo.be]
> Gesendet: Dienstag, 7. Juli 2009 15:51
> An: Stein, Luba (AIM SE); r-help at r-project.org
> Betreff: RE: [R] Uncorrelated random vectors
> 
> cor.test(rnorm(10000), rnorm(10000))
> 
> 
> -----------------------------------------------------------------------
> -
> ----
> ir. Thierry Onkelinx
> Instituut voor natuur- en bosonderzoek / Research Institute for Nature
> and Forest
> Cel biometrie, methodologie en kwaliteitszorg / Section biometrics,
> methodology and quality assurance
> Gaverstraat 4
> 9500 Geraardsbergen
> Belgium
> tel. + 32 54/436 185
> Thierry.Onkelinx at inbo.be
> www.inbo.be
> 
> To call in the statistician after the experiment is done may be no more
> than asking him to perform a post-mortem examination: he may be able to
> say what the experiment died of.
> ~ Sir Ronald Aylmer Fisher
> 
> The plural of anecdote is not data.
> ~ Roger Brinner
> 
> The combination of some data and an aching desire for an answer does
> not
> ensure that a reasonable answer can be extracted from a given body of
> data.
> ~ John Tukey
> 
> -----Oorspronkelijk bericht-----
> Van: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org]
> Namens Stein, Luba (AIM SE)
> Verzonden: dinsdag 7 juli 2009 15:46
> Aan: r-help at r-project.org
> Onderwerp: [R] Uncorrelated random vectors
> 
> Hello,
> 
> is it possible to create two uncorrelated random vectors for a given
> distribution.
> 
> In fact, I would like to have something like the function "rnorm" or
> "rlogis" with the extra property that they are uncorrelated.
> 
> Thanks for your help,
> Luba
> 
> 
> 
> 
> 	[[alternative HTML version deleted]]
> 
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