> Now I also want to generate two correlated variables where the error > variance vary over the variable-correlation. > And I want to plot this for showing heteroscedasticity. > > Like shown here: > http://upload.wikimedia.org/wikipedia/de/1/1b/Heteroske2.png > > Is that possible with R? >
of course it is. And it' very simple seed(123456) x = rnorm(500,1,1) b0 = 1 # intercept chosen at your choice b1 = 1 # coef chosen at your choice h = function(x) 1+.4*x # h performs heteroscedasticity function (here I used a linear one) eps = rnorm(500,0,h(x)) y = b0 + b1*x + eps plot(x,y) abline(lsfit(x,y)) abline(b0,b1,col=2) regards PF ps notice that in heteroscedasticity case the random vector (X,Y) is not a bivariate normal but it is: Y|X=x ~ normal(b0+b1 x; h(x)) ie every conditional Y is normal +------------------------------------------------- | Patrizio Frederic | Research associate in Statistics, | Department of Economics, | University of Modena and Reggio Emilia, | Via Berengario 51, | 41100 Modena, Italy | | tel: +39 059 205 6727 | fax: +39 059 205 6947 | mail: [EMAIL PROTECTED] +------------------------------------------------- ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
