Re: How to create conditional correlated random values given exogenous data
- From: "Reef Fish" <large_nassua_grouper@xxxxxxxxx>
- Date: 7 Nov 2006 09:00:35 -0800
Bob wrote:
I am trying to solve a puzzle that's rather tricky for me but I think
the solution might be well known. However I have not found the answer
though researching online ressources for days now. So I would be really
happy for any hints regarding my problem:
I want to draw normal random numbers that are correlated to themselves
and to exogenous given values. Let's say I have two vectors of normally
distributed values with a specific correlation. Now I want to create
three more vectors with normal random numbers, that exhibit a given
correllation structure to the exogenous given data and to themselves.
I just want to comment on the single word "structure" in "correlation
structure". Just exactly what IS a correlation structure?
If I tell you that X and Y have ZERO correlation, and I give you 100
points (any 100 you choose) insid a unit square from the origin,
to sprinkle on the X-Y plane to characterize the ZERO -correlation
structure, can you do it? What do you envision to be that correlation
"striuture"?
This is a very serious question relating to what you are asking.
Perhaps
if you realize how miserably you will FAIL in characterizing a zero
correlation structure, that you will not find ANY structure to
characterize
points that will have a structure of any value, and perhaps then think
of
some other ways of asking your questioni to chieve what you really
wat to do.
-- Reef Fish Bob,
.
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