rusers.sh <rusers.sh <at> gmail.com> writes: > rmvnorm()can be used to generate the random numbers from a multivariate > normal distribution with specified means and covariance matrix, but i want > to specify the correlation matrix instead of covariance matrix for the > multivariate > normal distribution. > Does anybody know how to generate the random numbers from a multivariate > normal distribution with specified correlation matrix? What about > other non-normal > distribution?
What do you want the variances to be? If you don't mind that they're all equal to 1, then using your correlation matrix as the Sigma argument to the mvrnorm() [sic] function in MASS should work fine. They have to be defined as *something* .... If you want multivariate distributions with non-normal marginal distributions, consider the 'copula' package, but be prepared to do some reading -- this is a fairly big/deep topic. good luck. ______________________________________________ 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.
