[R] how to generate multiple random variables that are correlated

eric lee ericlee100 at gmail.com
Mon Feb 2 17:15:55 CET 2009


I have two variables, x and y, that are each normally distributed with
mean 0 and have known standard deviations.  The variables also have a
known correlation, so I can represent their correlations in a matrix
like so:

a <- array(c(0.3,0.1,0.1,0.2),c(2,2))

Is there an R function that generates random values for my two
variables given the correlation?  I'd like to do this for up to 5
variables and I'm running version 2.7.2 on a windows platform.


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