Thanks for Andy's comment and help. I should have used a better example for
my question. Below is my exact question and I will appreciate a lot for any
insights.
I generate a bi-variate normal distribution with mean = c(0, 0.2) and
variance covariance matrix = matrix(c(1, .025, .025, .0025), nrow = 2):
> x <- rmvnorm(10, c(0, 0.2), matrix(c(1, .025, .025, .0025), nrow = 2))
> x
[,1] [,2]
[1,] 0.1595351 0.1715898
[2,] -0.5177577 0.1839222
[3,] -0.8794011 0.1896593
[4,] 1.0584185 0.2208470
[5,] 0.1960055 0.2199169
[6,] 0.6450406 0.1773001
[7,] -2.2160986 0.1810803
[8,] 0.2131569 0.1223121
[9,] -0.3598349 0.2402232
[10,] -0.3905455 0.1787059
> x.sum <- apply(x,1,sum)
> x.sum
[1] 0.3311249 -0.3338355 -0.6897418 1.2792655 0.4159225 0.8223407
-2.0350183 0.3354690 -0.1196116 -0.2118395
if I call x[,1] as theta.year1 and x[,2] as growth.year1 then the mean of
x.sum is 0+0.2 = -.2 and the standard deviation of x.sum is
sqrt(1+.0025+2*.5*1*.05) = 1.0259
<<...OLE_Obj...>>
assume the correlation is again 0.5, I would like to generate another
bi-variate normal distribution with the fixed first column that equals to
x.sum. If the mean and SD of the second column is 0.2 and 0.05,
respectively, the mean of this bi-variate normal distribution is c(0.2, 0.2)
and the variance-covariance matrix is: matrix(c(1.0259^2, 0.5*1.0259*0.05,
0.5*1.0259*0.05, 0.0025), 2)
Thanks again for helping me.
David
-----Original Message-----
From: Liaw, Andy [mailto:[EMAIL PROTECTED]
Sent: Wednesday, July 05, 2006 11:50 AM
To: Shin, David; '[email protected]'
Subject: RE: [R] generate bi-variate normal data
From: Shin, David
>
> Dear all,
>
> I would like to generate bi-variate normal data given that
> the first column of the data is known. for example:
> I first generate a set of data using the command, x <-
> rmvnorm(10, c(0, 0), matrix(c(1, 0, 0, 1), 2))
>
> then I would like to sum up the two columns of x:
> x.sum <- apply(x, 1, sum)
>
> now with x.sum I would like to generate another column of
> data, say y, that makes cbind(x.sum, y) follow a bi-variate
> normal distribution with mean = c(0, 0) and sigma =
> matrix(c(1, 0, 0, 1),2)
x.sum as you described would be distributed as normal with mean=0 and
variance=2 (so you might as well just use x.sum <- rnorm(10, 0, sqrt(2))),
so I don't see how you can get to the second step where you want x.sum to
have variance=1. Also, since the covariances are 0, you could just generate
the columns separately using rnorm() and cbind() them together.
It might be helpful for you to get some basic understanding of math stat. I
only say that because most likely there are other steps to whatever task you
are doing (people are unlikely to be generating random numbers just for
kicks), and there's no telling what other things you are doing
inefficiently, or even erroneously.
Andy
> I will appreciate for all insights.
>
> David s.
>
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