Hi everybody,
I am trying to generate two random walks with an specific correlation,
for example, two random walks of 200 time steps with a correlation 0.7.
I built the random walks with:
x<-cumsum(rnorm(200, mean=0,sd=1))
y<-cumsum(rnorm(200, mean=0,sd=1))
but I don't know how to fix the correlation between them.
With white noise is easy to fix the correlation using the function
rmvnorm in the package mvtnorm
I surfed in the web in the searchable mail archives in the R web site
but no references appears.
If you have some advices to solve this problems I would be very thankful.
Thanks in advance.
Sergio A. Estay
*CASEB *
Departamento de Ecología
Universidad Catolica de Chile
--
“La disciplina no tiene ningún mérito en circunstancias ideales. ” – Habor
Mallow
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