Displaying 1 result from an estimated 1 matches for "a13811194".
2007 Nov 16
1
generate multivariate F with specified correlation matrix
Dear all,
In MATLAB, to generate multivariate F with specified correlation matrix Pn I can use the code such as
Z = mvnrnd([0 0 0 0 0], Pn, N);
U = normcdf(Z,0,1);
X = [finv(U(:,1),5,15) finv(U(:,2),5,15) finv(U(:,3),5,15) finv(U(:,4),5,15) finv(U(:,5),5,15)];
Is there something similar in R?
Thank you for your time.