[R] Random walk

Sergio Andrés Estay Cabrera sestay at bio.puc.cl
Mon May 10 03:20:25 CEST 2010

Hi everybody,

I am trying to generate two random walks with an specific correlation, 
for example, two random walks of 200 time steps with a correlation 0.7.

I built the random walks with:

x<-cumsum(rnorm(200, mean=0,sd=1))
y<-cumsum(rnorm(200, mean=0,sd=1))

but I don't know how to fix the correlation between them.

With white noise is easy to fix the correlation using the function 
rmvnorm in the package mvtnorm

I surfed in the web in the searchable mail archives in the R web site 
but no references appears.

If you have some advices to solve this problems I would be very thankful.

Thanks in advance.

Sergio A. Estay
Departamento de Ecología
Universidad Catolica de Chile

“La disciplina no tiene ningún mérito en circunstancias ideales. ” – Habor Mallow

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