R help - Aug 2011 - Generate 2 variables with normal distribution correlated betweenthem and with serial correlation

Hello,



I want to create 2 variables with normal distribution that the correlation
between them is equal to 0.8 and also each one has a serial correlation equal to
0.6.



To generate variables with correlation between them I use:



t1<-10

N<-45

sigma2<-matrix(c(1,0.8*sqrt(1),0.8*sqrt(1),1),2,2)

x<matrix(rep(rmvnorm(t1,mean=rep(0,nrow(sigma2)),sigma=sigma2),N),nr=n,nc=2)



My problem is that I don't know how to impose the serial correlation in this
case.



Does somebody has any suggestion?

Thanks in advance



Alexandra

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