Hi Yasir, Try the following reference:
A heuristic approach for the generation of multivariate random samples with specific marginal distributions and correlation matrix, Dimos C. Charmpis and Panayiota L. Panteli, Computational Statistics 19, 283-300, 2004. I have the R code, please let me know if you need it, I will more than happy to post it online. Nonetheless, soon I will create an add-on package. Rmvnorm assume a multivariate normal distribution, the method from above is flexible enough to mix marginals. Kind Regards, Pedro -----Original Message----- From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of Yasir Kaheil Sent: Monday, August 11, 2008 3:58 PM To: r-help@r-project.org Subject: [R] generating a random signal with a known correlation Hi, How can I generate a random signal that's correlated with a given signal at a given correlation (say 0.7)? I've been looking at rmvnorm etc but don't seem to figure it out. Thanks ----- Yasir H. Kaheil Columbia University -- View this message in context: http://www.nabble.com/generating-a-random-signal-with-a-known-correlatio n-tp18932541p18932541.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ 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.
