'should work', yes. Do what he asked for (in any reasonable reading), no. > set.seed(1) > library(mvtnorm) ## you both omitted to mention that > X <- rmvnorm(n=10,mean=1:2,sigma=matrix(c(1,0.5,0.5,1),2,2)) > var(X) [,1] [,2] [1,] 0.4878773 0.1238040 [2,] 0.1238040 0.9508090
Fortunately there is a way to do it, and without even adding unstated packages to your R installation: > library(MASS) > set.seed(1) > X <- mvrnorm(n=10, mu=1:2, Sigma=matrix(c(1,0.5,0.5,1),2,2), emp=TRUE) > var(X) [,1] [,2] [1,] 1.0 0.5 [2,] 0.5 1.0 On Tue, 13 Feb 2007, Robin Hankin wrote: > Hi > > give rmvnorm() any symmetric positive definite matrix and it should > work: > > > > > rmvnorm(n=10,mean=1:2,sigma=matrix(c(1,0.5,0.5,1),2,2)) > [,1] [,2] > [1,] -0.1118 2.514 > [2,] 1.8667 1.628 > [3,] 3.2477 2.263 > [4,] 1.0166 2.381 > [5,] -0.0888 -0.132 > [6,] -0.9249 0.610 > [7,] 1.5046 3.578 > [8,] 0.8530 0.802 > [9,] 2.2940 2.240 > [10,] 1.1660 2.528 > > > > > > HTH > > rksh > > > On 13 Feb 2007, at 14:14, Rauf Ahmad wrote: > >> Dear All >> >> I want to generate multivariate normal data in R for a given >> covariance >> matrix, i.e. my generated data must have the given covariance >> matrix. I >> know the rmvnorm command is to be used but may be I am failing to >> properly assign the covariance matrix. >> >> Any help will be greatly appreciated >> >> thanks. >> >> M. R. Ahmad >> >> ______________________________________________ >> R-help@stat.math.ethz.ch 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. > > -- > Robin Hankin > Uncertainty Analyst > National Oceanography Centre, Southampton > European Way, Southampton SO14 3ZH, UK > tel 023-8059-7743 > > ______________________________________________ > R-help@stat.math.ethz.ch 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. > -- Brian D. Ripley, [EMAIL PROTECTED] Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595 ______________________________________________ R-help@stat.math.ethz.ch 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.