[R] Generating correlated data from uniform distribution

Peter Dalgaard p.dalgaard at biostat.ku.dk
Sat Jul 2 00:59:13 CEST 2005

"Jim Brennan" <jfbrennan at 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))

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