[R] generate random numbers from a multivariate distribution with specified correlation matrix
Ben Bolker
bbolker at gmail.com
Tue Aug 24 04:43:53 CEST 2010
rusers.sh <rusers.sh <at> gmail.com> writes:
> rmvnorm()can be used to generate the random numbers from a multivariate
> normal distribution with specified means and covariance matrix, but i want
> to specify the correlation matrix instead of covariance matrix for the
> multivariate
> normal distribution.
> Does anybody know how to generate the random numbers from a multivariate
> normal distribution with specified correlation matrix? What about
> other non-normal
> distribution?
What do you want the variances to be? If you don't mind that they're
all equal to 1, then using your correlation matrix as the Sigma argument
to the mvrnorm() [sic] function in MASS should work fine. They have to
be defined as *something* ....
If you want multivariate distributions with non-normal marginal
distributions, consider the 'copula' package, but be prepared to do
some reading -- this is a fairly big/deep topic.
good luck.
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