[R-sig-Geo] Simulating variables with predefined correlation and autocorrelation

Amitha Puranik pur@n|k@@m|th@ @end|ng |rom gm@||@com
Thu Aug 22 13:40:27 CEST 2019


Dear Prof Facundo Muñoz,



Thank you for a quick response. I am sorry for not phrasing my query
clearly.

I am interested to simulate 2 variables Y and X in such a way that the
resultant variables should possess the correlation coefficient of 0.6
between Y and X and autocorrelation of 0.7 in Y and 0.4 in X. The query
posted in the link (
https://stat.ethz.ch/pipermail/r-sig-geo/2011-September/012728.html)
focussed on only the autocorrelation of Y (spatial lag model) whereas I
would like to introduce some autocorrelation in X too (spatial durbin
model).

Is there a way to do this? Should a covariance structure defining both
correlation and autocorrelation be specified while simulating variables? If
so, how to define such covariance structure? I will be grateful for your
assistance.

Thanks in advance.

Amitha Puranik

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