Generate normal, correlated variables

Given the mean and desired correlations, generate normal, correlated variables.

Usage

get_corvars(n = 10, mu, sigma, tol = 1e-06, seed = NULL)

Arguments

n

The number of samples required.

mu

A vector with the means for the variables.

sigma

A symmetric, positive-definite matrix with the (co)variance or correlation matrix of the variables.

tol

Tolerance (relative to largest variance) for numerical lack of positive-definiteness in sigma.

seed

An integer value interpreted as seed.

Value

A tibble containing the simulated data.

Author

Tiago Olivoto tiagoolivoto@gmail.com

Examples

# \donttest{
sigma <- matrix(c(1,  .3,  0,
                  .3,   1, .9,
                  0,   .9,  1),3,3)
mu <- c(6,50,5)

df <- get_corvars(n = 10000, mu = mu, sigma = sigma, seed = 101010)
mean_by(df)
#> # A tibble: 1 × 3
#>      X1    X2    X3
#>   <dbl> <dbl> <dbl>
#> 1  6.01  50.0  5.00
cor(df)
#>             X1        X2          X3
#> X1 1.000000000 0.3026515 0.004851063
#> X2 0.302651488 1.0000000 0.900604867
#> X3 0.004851063 0.9006049 1.000000000
# }