correlate: Perform generation of a correlated random variable.

In graemeblair/DDfabricate: Imagine Your Data Before You Collect It

Perform generation of a correlated random variable.

Description

This function is EXPERIMENTAL, and we cannot guarantee its properties for all data structures. Be sure to diagnose your design and assess the distribution of your variables.

Usage

correlate(draw_handler, ..., given, rho)

Arguments

draw_handler	The unquoted name of a function to generate data. Currently, draw_binary, draw_binomial, and draw_count are supported.
...	The arguments to draw_handler (e.g. prob, mean, etc.)
given	A vector that can be ordered; the reference distribution X that Y will be correlated with.
rho	A rank correlation coefficient between -1 and 1.

Details

In order to generate a random variable of a specific distribution based on another variable of any distribution and a correlation coefficient rho, we map the first, known variable into the standard normal space via affine transformation, generate the conditional distribution of the resulting variable as a standard normal, and then map that standard normal back to the target distribution. The result should ensure, in expectation, a rank-order correlation of rho.

Examples

# Generate a variable of interest
exam_score <- pmin(100, rnorm(n = 100, mean = 80, sd = 10))

# Generate a correlated variable using fabricatr variable generation
scholarship_offers <- correlate(given = exam_score, rho = 0.7,
                                draw_count, mean = 3)

# Generate a correlated variable using base R distributions
final_grade <- pmax(100, correlate(given = exam_score, rho = 0.7,
                                   rnorm, mean = 80, sd = 10))

graemeblair/DDfabricate documentation built on Feb. 3, 2024, 6:39 a.m.