[R] Defining vectors with per-determined correlations

[Ista Zahn]

See ?mvrnorm in the MASS package.

Best,
Ista


On Thu, Sep 4, 2014 at 12:04 PM, John Sorkin <jsorkin at grecc.umaryland.edu>
wrote:

> I need to define three vectors x, y, z (each of length 100) such that the
> pair-wise correlations of the vectors have per-defined values r1 and r2.
> More specifically I need to define x, y, and z so that:
>
> corr(x,y) = r1
> corr(y,z) = r2
>
> Is there any easy way to accomplish this with R?
>
> Thank you,
> John
> John David Sorkin M.D., Ph.D.
> Professor of Medicine
> Chief, Biostatistics and Informatics
> University of Maryland School of Medicine Division of Gerontology and
> Geriatric Medicine
> Baltimore VA Medical Center
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