get_corvars function

Generate normal, correlated variables

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

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.

Returns

A tibble containing the simulated data.

Examples

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)
cor(df)

Author(s)

Tiago Olivoto tiagoolivoto@gmail.com