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Jan 20th, 2018
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  1. set.seed(961)
  2. mu <- rep(0, 4)
  3. Sigma <- matrix(c(1, -1, 0, 0,
  4. -1, 1, 0, 0,
  5. 0, 0, 1, -1,
  6. 0, 0, -1, 1), nrow = 4, ncol = 4)
  7. Sigma
  8. # [,1] [,2] [,3] [,4]
  9. # [1,] 1 -1 0 0
  10. # [2,] -1 1 0 0
  11. # [3,] 0 0 1 -1
  12. # [4,] 0 0 -1 1
  13.  
  14. library(MASS)
  15. rawvars <- mvrnorm(n = 1e4, mu = mu, Sigma = Sigma)
  16.  
  17. # cov(rawvars)
  18.  
  19. cor(rawvars)
  20. # [,1] [,2] [,3] [,4]
  21. # [1,] 1.000000000 -1.000000000 -0.006839596 0.006839597
  22. # [2,] -1.000000000 1.000000000 0.006839597 -0.006839598
  23. # [3,] -0.006839596 0.006839597 1.000000000 -1.000000000
  24. # [4,] 0.006839597 -0.006839598 -1.000000000 1.000000000
  25.  
  26. pvars <- pnorm(rawvars)
  27.  
  28. binvars <- qbinom(pvars, 4, .3)
  29.  
  30. summary(as.factor(binvars))
  31. # 0 1 2 3 4
  32. # 9704 16283 10676 2994 343
  33.  
  34. hist(binvars)
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