mardi 17 février 2015

R: generate two random vectors with specified covariance?

Let's say I have two random variables, X and Y, with two distinct means lamba 1 and lambda 2. I want to generate n random numbers from X and the same number from Y, but I also want to set a specific Cov(X, Y) = c, some constant. Any tips for how to generate these numbers in R?


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