10
$\begingroup$

I would like to simulate some random data e.g. between 0 and 1, but with a given correlation. In other words some data where the correlation between two datasets is e.g. a constant or within a give range of correlations for example a minimum of 0.2 and a maximum of 0.8.

Any tips how to use e.g. RandomReal or another function to create such data?

thanks in advance

Improve this question
$\endgroup$
1

3 Answers 3

Reset to default
16
$\begingroup$ 
ClearAll[dist]
dist [rho_] := CopulaDistribution[{"Binormal", rho}, {UniformDistribution[{0, 1}], 
    UniformDistribution[{0, 1}]}];

data1 = RandomVariate[dist[-.9], 5000];
ListPlot[data1, Frame -> True, AspectRatio -> 1]

enter image description here

data2 = RandomVariate[dist[.6], 5000];
ListPlot[data2, Frame -> True, AspectRatio -> 1]

enter image description here

Improve this answer
$\endgroup$
1
  • $\begingroup$ +1 nice. Checks with Correlation @@ Transpose[data1] $\endgroup$ Commented Mar 11, 2015 at 14:22
5
$\begingroup$ 
f[r_?NumberQ,n_Integer]:={First[#],#.{r,Sqrt[1-r^2]}}&/@RandomReal[NormalDistribution[0,1],{n,2}];

Produces n pairs of numbers with the correlation r.

Improve this answer
$\endgroup$
1
$\begingroup$

Brute Force:

 While[! ( .9 < 
      Correlation[ a = RandomReal[{0, 1}, 10], b = RandomReal[{0, 1}, 10  ]] < .91 ) ]
 Correlation[ a, b]

0.900731

 {a, b} // MatrixForm

enter image description here

I expect this breaks down in a hurry for larger sets.

Improve this answer
$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Start asking to get answers

Find the answer to your question by asking.

Ask question

Explore related questions

See similar questions with these tags.