Thanks, Enrico and Harold. I have searched the archives for this topic, but all I can find is about the multivariate normal or uniform generator, which doesn't help in my case.
Harold's transformation is good for getting the correlation, but the negative binomial distribution will be changed after transformation, won't keep the desired parameters r and p. Enrico's method is brilliant for rank correlation, is there any algorithm for linear correlation? Even some references for multivariate negative binomial generator will help. Your help are really appreciated Best, Yue Yu On Wed, Jul 27, 2011 at 11:31, Doran, Harold <hdo...@air.org> wrote: > Do you mean something like this? > >> cors <- matrix(c(1, .9, .8, .8, .9, 1, .8, .8, .8, .8, 1, .9, .8, .8, .9, >> 1), 4) >> L <- chol(cors) >> N <- 1000 >> dat <- cbind(rnbinom(N, mu = 4, size = 1), rnbinom(N, mu = 4, size = 1), >> rnbinom(N, mu = 4, size = 1), rnbinom(N, mu = 4, size = 1)) >> result <- dat %*% L >> cor(dat) > [,1] [,2] [,3] [,4] > [1,] 1.00000000 0.04227103 0.00358846 0.02860722 > [2,] 0.04227103 1.00000000 -0.03122457 0.03070221 > [3,] 0.00358846 -0.03122457 1.00000000 0.04621639 > [4,] 0.02860722 0.03070221 0.04621639 1.00000000 > >> cor(result) > [,1] [,2] [,3] [,4] > [1,] 1.0000000 0.9021538 0.8183199 0.8158886 > [2,] 0.9021538 1.0000000 0.8114415 0.8152286 > [3,] 0.8183199 0.8114415 1.0000000 0.9145778 > [4,] 0.8158886 0.8152286 0.9145778 1.0000000 > > > >> -----Original Message----- >> From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On >> Behalf Of Yue Yu >> Sent: Tuesday, July 26, 2011 11:01 PM >> To: r-help@r-project.org >> Subject: [R] Correlated Multivariate Distribution Generator >> >> Dear R User, >> >> I am wondering if there is a way to generate correlated multivariate >> non-normal distribution? >> >> For example, I want to generate four correlated negative binomial >> series with parameters r=10, p=0.2, based on the correlation >> coefficient matrix >> | 1 0.9 0.8 0.8 | >> | 0.9 1 0.8 0.8 | >> | 0.8 0.8 1 0.9 | >> | 0.8 0.8 0.9 1 | >> >> Thank a lot. >> >> Best, >> >> Yue Yu >> >> ______________________________________________ >> R-help@r-project.org mailing list >> https://stat.ethz.ch/mailman/listinfo/r-help >> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html >> and provide commented, minimal, self-contained, reproducible code. > ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
