Re: [R] Generating correlated data from uniform distribution

From: Peter Dalgaard <p.dalgaard_at_biostat.ku.dk>
Date: Sat 02 Jul 2005 - 08:59:13 EST

"Jim Brennan" <jfbrennan@rogers.com> writes:

> Yes you are right I guess this works only for normal data. Free advice
> sometimes comes with too little consideration :-)

Worth every cent...

> Sorry about that and thanks to Spencer for the correct way.

Hmm, but is it? Or rather, what is the relation between the correlation of the normals and that of the transformed variables? Looks nontrivial to me.

Incidentally, here's a way that satisfies the criteria, but in a rather weird way:

N <- 10000
rho <- .6
x <- runif(N, -.5,.5)
y <- x * sample(c(1,-1), N, replace=T, prob=c((1+rho)/2,(1-rho)/2))

-- 
   O__  ---- Peter Dalgaard             ุster Farimagsgade 5, Entr.B
  c/ /'_ --- Dept. of Biostatistics     PO Box 2099, 1014 Cph. K
 (*) \(*) -- University of Copenhagen   Denmark          Ph: (+45) 35327918
~~~~~~~~~~ - (p.dalgaard@biostat.ku.dk)                  FAX: (+45) 35327907

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Received on Sat Jul 02 09:05:20 2005

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