Generating Correlated Data Sets

by Robert M. Lynch.

Abstract: Techniques using Common Elements Correlation to generate correlated data sets are described. Two illustrations are provided. The first describes a simple process to produce a data set for two variables with a specified correlation. The second illustrates the creation of a larger dataset for a three variable correlation matrix with specified correlations. Positive and negative correlations are considered.

Key Words: Correlation, correlated data sets, Monte Carlo analysis, Variable generation

Robert M. Lynch, Em ail1

Editor: Graf, R.G.  ,

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