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1. Recreating correlation (score: 1): Author: "Horace Tso" <Horace_Tso@pgn.com>; Date: Tue, 24 Jun 2003 13:45:11 -0700; 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; /archives/html/s-news/2003-06/msg00178.html (7,586 bytes)
2. Re: Recreating correlation (score: 1): Author: Prof Brian Ripley <ripley@stats.ox.ac.uk>; Date: Tue, 24 Jun 2003 21:55:05 +0100 (BST); Suppose A has variance s^2, and U is a vector of mean zero and variance a^2 uncorrelated with B. Then corr(A+U, A) = s^2/(s^2+a^2). For d > 0 solve for a^2, and for d < 0 use -(A+U). To find a suitab; /archives/html/s-news/2003-06/msg00179.html (8,197 bytes)
3. Re: Recreating correlation (score: 1): Author: "Paul H. Lasky" <phlasky@earthlink.net>; Date: Wed, 25 Jun 2003 09:36:13 -0700; This is a common task in simulating the end-point of financial derivatives. Assume that you know the distribution of each component of A, call it Phi ( assume that the distribution all components is; /archives/html/s-news/2003-06/msg00181.html (10,397 bytes)
4. Re: Recreating correlation (score: 1): Author: "Roberto Matterazzo" <roberto.matterazzo@prometeia.it>; Date: Thu, 26 Jun 2003 09:57:32 +0200; The suggestion of Paul H. Lasky is very good, but I think only for large sample. In this case the variance of a(i) is equal to the variance of z, end they are incorrelated. If you want the same corr; /archives/html/s-news/2003-06/msg00193.html (17,603 bytes)

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