Hello,
I want to create 2 variables with normal distribution that the correlation
between them is equal to 0.8 and also each one has a serial correlation equal
to 0.6.
To generate variables with correlation between them I use:
t1<-10
N<-45
sigma2<-matrix(c(1,0.8*sqrt(1),0.8*sqrt(1),1),2,2)
x<matrix(rep(rmvnorm(t1,mean=rep(0,nrow(sigma2)),sigma=sigma2),N),nr=n,nc=2)
My problem is that I don't know how to impose the serial correlation in this
case.
Does somebody has any suggestion?
Thanks in advance
Alexandra
[[alternative HTML version deleted]]
______________________________________________
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.
