Generate correlated data

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Description

Generate correlated data vectors of a given length.

Usage

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corgen(len, x, r, population = FALSE, epsilon = 0)

Arguments

len

Length of data vectors.

x

Independent data. If x is specified, the population parameter is automatically set to TRUE.

r

Correlation between data vectors.

population

TRUE for vectors drawn from two populations with correlation r, otherwise r is the sample correlation.

epsilon

If epsilon = 0, it has no effect, otherwise the sampling process is repeated until the sample correlation is within epsilon of r. This option allows the production of exactly-correlated data, within the limits of epsilon. Setting epsilon > 0 invalidates the population setting; data will be correlated within that range, rather than sampled from that population.

Details

Either x or len must be specified. This function has additional capabilities beyond the corgen function available in the stats package.

Value

x

First data vector, either generated by corgen or given by the user.

y

Second data vector.

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Author(s)

Sarah Goslee

Examples

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# create two random variables of length 100 with correlation 
# of 0.10 +/- 0.01
xy <- corgen(len=100, r=.1, epsilon=0.01)

# create two random variables of length 100 drawn from a population with 
# a correlation of -0.82
xy <- corgen(len=100, r=-0.82, population=TRUE)

# create a variable y within 0.01 of the given correlation to x
x <- 1:100
y <- corgen(x=x, r=.5, epsilon=.01)$y