R help - Feb 2009 - how to generate multiple random variables that are correlated

Hi.

I have two variables, x and y, that are each normally distributed with
mean 0 and have known standard deviations.  The variables also have a
known correlation, so I can represent their correlations in a matrix
like so:

a <- array(c(0.3,0.1,0.1,0.2),c(2,2))
a

Is there an R function that generates random values for my two
variables given the correlation?  I'd like to do this for up to 5
variables and I'm running version 2.7.2 on a windows platform.
Thanks.

eric

eric lee <ericlee100 <at> gmail.com> writes:

[snip]
> 
> Is there an R function that generates random values for my two
> variables given the correlation?  I'd like to do this for up to 5
> variables and I'm running version 2.7.2 on a windows platform.
> Thanks.
  ?MASS::mvrnrom

Dear Eric,
See ?mvrnorm in the MASS package.


HTH,

Jorge



On Mon, Feb 2, 2009 at 11:15 AM, eric lee <ericlee100@gmail.com> wrote:
> Hi.
>
> I have two variables, x and y, that are each normally distributed with
> mean 0 and have known standard deviations.  The variables also have a
> known correlation, so I can represent their correlations in a matrix
> like so:
>
> a <- array(c(0.3,0.1,0.1,0.2),c(2,2))
> a
>
> Is there an R function that generates random values for my two
> variables given the correlation?  I'd like to do this for up to 5
> variables and I'm running version 2.7.2 on a windows platform.
> Thanks.
>
> eric
>
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