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Hi folks,
Suppose i have a random vector A of size n.
I want to generate a vector B such that correlation
between A and B is (exactly) a constant, ie. corr( A, B ) = d, where d is
given number.
This is not a statistic question. I'm not trying to find
the joint distribution where rho equals d so that i can generate
random samples out of it. And surely that can be done with
rmvnorm(mu, rho). Rather, it is a simulation question. I want to find
the set F such that for every U in F,
corr(U, A) = d
Thank everyone. I'm using SPlus 6.1 rel 1.
Horace W. Tso
Portland General Electric
Portland, Oregon USA
503-464-8430
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