How to find the correlation between two random numbers
8 views (last 30 days)
Show older comments
Hi,
I want to give a specific correlation between two random numbers. I am using them to find the inverse lognormal distribution, so they have to remain between 0 and 1. How can I do this?
script:
N = 10;
ro = 0.75; %correlation between random numbers
f = rand(N,2);
mu7 = 0.84208;
su7 = 0.3852;
my7 = 0.688;
sy7 = 0.09975;
j = f(:,1);
g = f(:,2);
epy = logninv(j,my7,sy7);
epu_y = logninv(g,mu7,su7);
epu = epu_y + epy;
Thanks!
0 Comments
Accepted Answer
Greig
on 24 Feb 2015
Edited: Greig
on 25 Feb 2015
If you have two uncorrelated normally distributed random numbers, given by x, you can use the following to determine Y, which will be correlated with x(:,1)....
x=randn(1e3,2);
R0 = 0.75;
corr(x(:,1), x(:,2))
Y=R0*x(:,1)+(sqrt(1-R0)*x(:,2));
corr(x(:,1), Y)
It also appears to work well if x is from a uniform distribution, but the returned results are no longer uniformly distributed.
x=rand(1e3,2);
R0 = 0.75;
corr(x(:,1), x(:,2))
Y=R0*x(:,1)+(sqrt(1-R0)*x(:,2));
corr(x(:,1), Y)
It should be noted that the real correlation between x(:,1) and Y can vary significantly from R0 if N is small, also it works less well if x(:,1) and x(:,2) are coincidently correlated.
There are ways of doing this with Cholesky and eignevector decomposition, but I can't remember them off the top of my head.
UPDATED:
As John pointed out, the about solution does not maintain the uniformity of the random numbers after adjusted for correlations. I have attached a function that I sometimes use for this purpose, which does return uniform results
This is based on an example script provided here http://comisef.wikidot.com/tutorial:correlateduniformvariates
3 Comments
Greig
on 24 Feb 2015
That is true, so the approach is only valid for random samples from unbounded distributions. Given that the problem is dealing with logninv, this might throw up some errors.
I have some scripts for this sort of thing that I can check in when I'm back at work in the morning.
Greig
on 25 Feb 2015
The answer has been updated with a script that returns uniformly distributed results
More Answers (0)
See Also
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!