Mollet, Fabian: > I would like these (lognormal distributed) parameters to be correlated, > that is, I would like to have pairwise samples of 2 parameters with a > given correlation coefficient. > > I have seen that a covariance matrix can be fixed when generating random > variables from a multivariate normal distribution e.g. by the function > mvrnorm. > > Is there a function to do the same for a multivariate lognormal > distribution?
I don't know about any, but you should be aware that not all values of the correlation is possible with lognormal distributions. For example, if both variables have a standard lognormal distribution, they can't have correlation less than 1/e = -0.37. As the variance of the two distributions increase, the absolute value of the maximum and minimum correlation possible decrease (to zero). Using the normal product-moment correlation as a measure of dependence rarely makes much sense unless the association between the variables is linear. -- Karl Ove Hufthammer ______________________________________________ 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.
