On 5/9/2008 6:43 AM, Yemi Oyeyemi wrote:
Dear everyone, I am having problem simulating multivariate data. Though I was able to
simulate the data, but finding the variance-covariance matrix of simulated data did not
give exact covariance matrix used in simulating the data. Unlike some other packages,
like stata, using command "corr2data" will simulate data having the covariance
matrix exactly with the specified covariance matrix.
I used "mvrnorm(n, means, covariance)" Is there any syntax in R to use to
give me what I want?
Thanks
See the "empirical" argument, which is FALSE by default:
library(MASS)
var(mvrnorm(100, mu=rep(0,3), Sigma=diag(3)))
[,1] [,2] [,3]
[1,] 1.0973749 0.15329337 -0.25827350
[2,] 0.1532934 1.21175520 -0.01226041
[3,] -0.2582735 -0.01226041 1.03644978
var(mvrnorm(100, mu=rep(0,3), Sigma=diag(3), empirical=TRUE))
[,1] [,2] [,3]
[1,] 1.000000e+00 -6.848835e-18 -3.800031e-17
[2,] -6.848835e-18 1.000000e+00 -5.833391e-17
[3,] -3.800031e-17 -5.833391e-17 1.000000e+00
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