Dear R users and specially Albyn and Giovanni,
thanks for your answers, but in fact I supposed the same at the
beginning of my problem. However, when I generate the data seldom I
obtain the expected correlation. For example using this code:
fz<-function(n,t,rho){
f<-NULL
for(i in 1:n){
s<-rmvnorm(n=t,mean=c(0,0),sigma=matrix(c(1,rho,rho,1),ncol=2),method='svd')
paso<-cor(cumsum(s[,1]),cumsum(s[,2]))
f<-c(f,paso)}
f<-f
}
and then plot the histogram of the results, it is possible to observe
that the distribution of the values is asymmetric with most of the
simulations close to 1 when the value of rho is higher than 0.3 and
looks like a uniform distribution with values below 0.3.
I suspect than the only possibility is using a brute force algorithm.
Any advice would be helpful
Sergio A. Estay
*CASEB *
Departamento de Ecología
Universidad Catolica de Chile
Albyn Jones wrote:
Sums of correlated increments have the same correlation as the original
variables...
library(mvtnorm)
X<- matrix(0,nrow=1000,ncol=2)
for(i in 1:1000){
Y <- rmvnorm(1000,mean=mu,sigma=S)
X[i,] <- apply(Y,2,sum)
}
cor(Y)
[,1] [,2]
[1,] 1.0000000 0.4909281
[2,] 0.4909281 1.0000000
So, unless you meant that you want the _sample_ correlation to be
pre-specified, you are all set.
albyn
On Sun, May 09, 2010 at 09:20:25PM -0400, Sergio Andrés Estay Cabrera wrote:
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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--
“La disciplina no tiene ningún mérito en circunstancias ideales. ” – Habor
Mallow
______________________________________________
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PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
