[R-sig-Geo] Simulating variables with predefined correlation and autocorrelation
ruetten@uer @end|ng |rom @ow|@un|-k|@de
Tue Sep 3 09:35:37 CEST 2019
If understand your query correctly, you could also have a look at my preprint on Monte Carlo simulations of different spatial regression models: https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/5630.
The replication materials are online available (https://github.com/ruettenauer/Reproduction-Material-Spatial-Monte-Carlo-Experiments). The '01_Monte Carlo Simulation Spatial_Program.R' scipt provides a function to set up data with different constellations of autocorrelation. Maybe the code is useful for your purposes as well.
From: R-sig-Geo <r-sig-geo-bounces using r-project.org> On Behalf Of Amitha Puranik
Sent: 22 August 2019 17:19
To: r-sig-geo using r-project.org
Cc: c8a2375d-efb5-2ebe-7b3b-ac966d188f53 using cirad.fr
Subject: Re: [R-sig-Geo] Simulating variables with predefined correlation and autocorrelation
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.
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
> 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 [[alternative HTML version deleted]]
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