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Perform generation of a correlated random variable.

Source: R/correlate.R
correlate.Rd

This function is EXPERIMENTAL, and we cannot guarantee its properties for all data structures. Be sure to diagnose your design and assess the distribution of your variables.

Usage

correlate(draw_handler, ..., given, rho)

Arguments

draw_handler

The unquoted name of a function to generate data. Currently, draw_binary, draw_binomial, and draw_count are supported.

...

The arguments to draw_handler (e.g. prob, mean, etc.)

given

A vector that can be ordered; the reference distribution X that Y will be correlated with.

rho

A rank correlation coefficient between -1 and 1.

Details

In order to generate a random variable of a specific distribution based on another variable of any distribution and a correlation coefficient rho, we map the first, known variable into the standard normal space via affine transformation, generate the conditional distribution of the resulting variable as a standard normal, and then map that standard normal back to the target distribution. The result should ensure, in expectation, a rank-order correlation of rho.

Examples


# Generate a variable of interest
exam_score <- pmin(100, rnorm(n = 100, mean = 80, sd = 10))

# Generate a correlated variable using fabricatr variable generation
scholarship_offers <- correlate(given = exam_score, rho = 0.7,
                                draw_count, mean = 3)

# Generate a correlated variable using base R distributions
final_grade <- pmax(100, correlate(given = exam_score, rho = 0.7,
                                   rnorm, mean = 80, sd = 10))