[R] Correlated Multivariate Distribution Generator

Yue Yu
Wed, 27 Jul 2011 03:00:53 -0000

Dear R User,

I am wondering if there is a way to generate correlated multivariate
non-normal distribution?

For example, I want to generate four correlated negative binomial
series with parameters r=10, p=0.2, based on the correlation
coefficient matrix
|   1   0.9  0.8  0.8 |
| 0.9     1  0.8  0.8 |
| 0.8  0.8     1  0.9 |
| 0.8  0.8  0.9     1 |

Thank a lot.

Best,

Yue Yu