R help - Aug 2008 - generating a random signal with a known correlation

Hi,
How can I generate a random signal that's correlated with a given signal at
a given correlation (say 0.7)?
I've been looking at rmvnorm etc but don't seem to figure it out. Thanks


-----
Yasir H. Kaheil
Columbia University
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OK, here is the code for those who are interested:
x<-rnorm(1000, mean=20, sd=100);
x.s<-scale(x)
xp<-pnorm(x.s);
xix<- sort(xp,index.return=TRUE)$ix
norm.cop <- normalCopula(0.6) #correlation of 0.6, other libraries can be
used instead of copula
y <- rcopula(norm.cop, length(x))
yp<-pnorm(y)
ypix<- sort(yp[,1],index.return=TRUE)$ix
yp<-yp[ypix,];
yps<-yp[,1];# dummy initialization
yps[xix]<-yp[,2];
#adjust mean and sd here.
yqs<-qnorm(yps,mean=mean(x),sd=sd(x));

cor(x,yqs)




Yasir Kaheil wrote:
> 
> Hi,
> How can I generate a random signal that's correlated with a given
signal
> at a given correlation (say 0.7)?
> I've been looking at rmvnorm etc but don't seem to figure it out.
Thanks
> 
> 

-----
Yasir H. Kaheil
Columbia University
-- 
View this message in context:
http://www.nabble.com/generating-a-random-signal-with-a-known-correlation-tp18932541p18937754.html
Sent from the R help mailing list archive at Nabble.com.

Hi Yasir,

Try the following reference:

A heuristic approach for the generation of multivariate random samples
with specific marginal distributions and correlation matrix, Dimos C.
Charmpis and Panayiota L. Panteli, Computational Statistics 19, 283-300,
2004.

I have the R code, please let me know if you need it, I will more than
happy to post it online. Nonetheless, soon I will create an add-on
package. 

Rmvnorm assume a multivariate normal distribution, the method from above
is flexible enough to mix marginals. 

Kind Regards,

Pedro  

-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org]
On Behalf Of Yasir Kaheil
Sent: Monday, August 11, 2008 3:58 PM
To: r-help at r-project.org
Subject: [R] generating a random signal with a known correlation


Hi,
How can I generate a random signal that's correlated with a given signal
at
a given correlation (say 0.7)?
I've been looking at rmvnorm etc but don't seem to figure it out. Thanks


-----
Yasir H. Kaheil
Columbia University
-- 
View this message in context:
http://www.nabble.com/generating-a-random-signal-with-a-known-correlatio
n-tp18932541p18932541.html
Sent from the R help mailing list archive at Nabble.com.

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