To generate multivariate normal distributions, you will want mvrnorm in package MASS.
> -----Original Message----- > From: r-help-boun...@r-project.org [mailto:r-help-bounces@r- > project.org] On Behalf Of Petr Savicky > Sent: Tuesday, May 15, 2012 7:14 AM > To: r-help@r-project.org > Subject: Re: [R] Probabilistic aggregation > > On Mon, May 14, 2012 at 11:15:18PM -0700, davewiz wrote: > > Hello, I'm a new user to R and need some help coding a mathmatically > simple > > aggregation of normal distributions. I have three normal > distributions: > > A ~ N(8.51, 4.24^2) > > B ~ N(7.57, 3.62^2) > > C ~ N(10.84, 6.59^2) > > with correlation coefficients of: > > rho(AB) = 0.710 > > rho(AC) = 0.263 > > rho(BC) = 0.503 > > and I want to simulate Z = A + B + C, showing the results on a plot > and > > fitting a distribution to the simulated data. > > Hi. > > First, derive the covariance matrix for the joint distribution. > Then, use the formulas from section Affine transformation of > > http://en.wikipedia.org/wiki/Multivariate_normal > > to derive the mean and variance of the variable A + B + C. > Taking a sum of coordinates is an affine transformation > represented by the matrix with one row of all ones, i.e. > > B = (1, 1, 1) > > For generating Z, use the function rnorm(), for computing the > sample mean and sample estimate of the standard deviation, use > functions mean() and sd(). > > Hope this helps. > > Petr Savicky. > > ______________________________________________ > 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. ______________________________________________ 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.
