[R] Probabilistic aggregation

davewiz david.wiszniewski at student.curtin.edu.au
Tue May 15 08:15:18 CEST 2012


Hello, I'm a new user to R and need some help coding a mathmatically simple
aggregation of normal distributions. I have three normal distributions:
A ~ N(8.51, 4.24^2)
B ~ N(7.57, 3.62^2)
C ~ N(10.84, 6.59^2)
with correlation coefficients of:
rho(AB) = 0.710
rho(AC) = 0.263
rho(BC) = 0.503
and I want to simulate Z = A + B + C, showing the results on a plot and
fitting a distribution to the simulated data.
I would like to write a semi-generalised code so that the distributions and
correlation matrix could be easily changed or a larger number of
distributions could be aggregated. Any help would be greatly appreciated.

Thank you,
Dave

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