You need mvrnorm() to do this.
-----Original Message-----
From: [EMAIL PROTECTED]
[mailto:[EMAIL PROTECTED] On Behalf Of Crabb, David
Sent: Monday, January 10, 2005 1:04 PM
To: r-help@stat.math.ethz.ch
Subject: [R] Query: simple autocorrelation ina time series
I hope you can help with what might be an easy query.
I am doing some simple simulations where I am generating series of data
from a normal distribution using rnorm. I am then treating these as a
time series. I want to know how I can incorporate correlation in the
series (autocorrelation) i.e. make the observations non-independent,
with a known (but simple) correlation structure. In other words I want
to simulate correlated data.
Many thanks for your help.
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