Re: [R] R: generating independent vectors

From: Chuck Cleland <ccleland_at_optonline.net>
Date: Fri 11 Mar 2005 - 23:58:20 EST

You might try mvrnorm() in MASS.

library(MASS)
mvrnorm(n=10, mu=rep(0, 3), Sigma=diag(3), empirical=TRUE)

Clark Allan wrote:
> hi all
>
> i would like to generate independent vectors. i have included the code
> below. i display the correlation matrix of the n*p (n=the number of
> samples, p= the number of variables) matrix.
> what i find is that as n increases, the correlation matrix tends to an
> identity matrix. i.e. independence. for small samples (see examples
> below, for n=20, p=5 ; n=50,p=5, n=100,p=5; n=10000,p=5) the variables
> does not appear to be independent. note that i have not tested this
> statement statistically.
>
> ARE these variables independent? by setting the seed for each variable
> run i HOPE that the variables are now independent. IS this true??? if
> not does anyone know how to generate these independent variables?
>
> how does R generate its random variables? does it use the box muller
> technique? if so how does it generate the random uniform variables?
>
> thanking you in advance!!!
> ***
> allan
>
>
>
> IND<-function(rows.=10,col.=3)
> {
> a<-matrix(nrow=rows.,ncol=col.)
> for (j in 1:col.)
> {
> set.seed(j)
> r<-rnorm(rows.)
> a[,j]<-r
> }
> #list(a=a,cor=cor(a))
> cor(a)
> }
> IND(rows.=10,col.=3)
>
>
>
>

>>IND(rows.=20,col.=5)

>
> [,1] [,2] [,3] [,4] [,5]
> [1,] 1.00000000 0.25677165 -0.14882130 -0.09190797 0.1562481
> [2,] 0.25677165 1.00000000 0.02585515 0.13735712 -0.1443301
> [3,] -0.14882130 0.02585515 1.00000000 -0.11311416 0.1437001
> [4,] -0.09190797 0.13735712 -0.11311416 1.00000000 0.1833647
> [5,] 0.15624807 -0.14433011 0.14370006 0.18336467 1.0000000
>
>
>
>>IND(rows.=50,col.=5)

>
> [,1] [,2] [,3] [,4] [,5]
> [1,] 1.0000000000 0.07915025 0.0009239851 -0.14102117 -0.07335342
> [2,] 0.0791502463 1.00000000 -0.1764530631 0.10021081 0.19742285
> [3,] 0.0009239851 -0.17645306 1.0000000000 0.02968062 0.14543350
> [4,] -0.1410211698 0.10021081 0.0296806188 1.00000000 0.07234953
> [5,] -0.0733534183 0.19742285 0.1454335014 0.07234953 1.00000000
>
>
>>IND(rows.=100,col.=5)

>
> [,1] [,2] [,3] [,4] [,5]
> [1,] 1.00000000 -0.1537208 -0.023741715 -0.135245915 0.01961224
> [2,] -0.15372076 1.0000000 -0.141796984 0.157219334 0.15518443
> [3,] -0.02374171 -0.1417970 1.000000000 0.005865698 0.19118563
> [4,] -0.13524592 0.1572193 0.005865698 1.000000000 0.07345299
> [5,] 0.01961224 0.1551844 0.191185627 0.073452993 1.00000000
>
>
>>IND(rows.=10000,col.=5)

>
> [,1] [,2] [,3] [,4] [,5]
> [1,] 1.000000000 0.015928444 -0.008288940 -0.005646904 0.006936662
> [2,] 0.015928444 1.000000000 -0.005444611 0.005242395 -0.008246009
> [3,] -0.008288940 -0.005444611 1.000000000 0.007277489 0.012299247
> [4,] -0.005646904 0.005242395 0.007277489 1.000000000 0.001918704
> [5,] 0.006936662 -0.008246009 0.012299247 0.001918704 1.000000000
>
>
> ------------------------------------------------------------------------
>
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-- 
Chuck Cleland, Ph.D.
NDRI, Inc.
71 West 23rd Street, 8th floor
New York, NY 10010
tel: (212) 845-4495 (Tu, Th)
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Received on Mon Mar 14 10:34:14 2005

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