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

[Amitha Puranik]

Dear Prof. Bivand,



Thanks a lot for responding and providing the material to read. I will
definitely go through your paper and the references cited in it.

I am working on simulating various scenarios where autocorrelation exists
in Y or X or both and also in the residuals and compare the model
performances on these data. At present I have planned to assign same
weights (distance based) for both X and Y. I have found solution to
simulate autocorrelated Y based on your response in the link (
https://stat.ethz.ch/pipermail/r-sig-geo/2011-September/012728.html). But I
have not found a way to induce autocorrelation in even the independent
variables(s). Hence I posted this query. Thanks in advance.

Regards,

Amitha Puranik.















On Thu, Aug 22, 2019 at 7:06 PM Roger Bivand <Roger.Bivand using nhh.no> wrote:

> Could you please explain why you want to do this and whether you want to
> use the same weights for y and x? Maybe refer to
> https://doi.org/10.1111/j.1538-4632.1991.tb00235.x and work referred to
> there; I'll try to find other references later.
>
> Roger Bivand
> Norwegian School of Economics
> Bergen, Norway
>
>
>
> Fra: Amitha Puranik
> Sendt: torsdag 22. august, 12.41
> Emne: Re: [R-sig-Geo]  Simulating variables with predefined correlation
> and autocorrelation
> Til: c8a2375d-efb5-2ebe-7b3b-ac966d188f53 using cirad.fr
> Kopi: r-sig-geo using r-project.org
>
>
> 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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