[R] Creating two autocorrelated and correlated time series

[Daniel Marmander]

I can create both correlated series and autocorrelated time series with
well defined correlation factors. I am however having trouble creating two
series given fixed autocorrelation for some number of lags in the series
(autocorrelation might differ between the two as well), that also has a
specific correlation between the series.

I have found some help here:
http://stats.stackexchange.com/questions/71211/how-to-generate-normal-random-variable-vector-which-is-spatially-auto-correlated
but I have a hard time implementing it in R, being a R-novice.


Thanks,
Daniel

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