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I managed to create the uniform variables X and W, both with normal distribution, using the formula rnorm in the R. However, I wanted to create variables so that they had a -0.8 correlation value.
Which control used for this??
1 answer
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There are at least two ways to do this:
Since the two variables are Normal, you can use the function
mvrnorm()packageMASS.Another option is to follow these instructions:
# gerar dois vetores N(0,1), independentes z1 = rnorm(100) z2 = rnorm(100) rho = -0.8 # o coeficiente de correlacao e1 = z1 e2 = rho*z1+sqrt(1-rho^2)*z2 cor(e1,e2) # aproximadamente -0.8
Note however that the solution 2 must be adapted if the vectors are to be e1 and e2 have different means of 0.
The original question does not make it clear whether the vectors X and W follow the uniform or normal distribution; my answer assumes that it is the 2nd case.
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Since I am not a 100% R enthusiast, I believe these two posts solve your problem (they are in English): http://stackoverflow.com/questions/18826793/create-correlated-variables-existing-variable and http://stackoverflow.com/questions/17047033/r-constructing-correlated-variables/17049940#17049940.
– Victor Martins