Hi,
I have to generate 30 lines of data from the bivariate lognormal distribution.
I have this information
"The log10 transformed responses follow the normal distribution as follows: X~N(-0.4, 0.3**2) and Y~N(-1.4, 0.3**2). Their correlation rho=0.5"
I have been generating the data with this code so far, which I believe is incorrect.
data simulate;
keep logy1 logy2;
do i=1 to 30;
mu1=-0.4 ;mu2=-1.4;sd1=0.3;sd2=0.3;rho=0.5;
r1 = rannor(1245);
r2 = rannor(2923);
logy1=10**(mu1 + sd1*r1);
logy2= 10**(mu2 + rho*sd2*r1+sqrt(sd2**2-sd2**2*rho**2)*r2);
output;
end;
proc corr data=simulate;
var logy1 logy2;
run;
Proc corr gives me estimates that i do not expect. I suppose I expected to see the mean, sd and rho values that I wrote in the datastep: I don't know how they'd change by being logtransformed.
Please can anyone help me? I am very stuck.
Katie
XX
The Rand function with 'LOGNORMAL' might generate the type of number you need better than the attempted transforms.
Not sure if it what you need. You should run code several times to get almost 0.5 correlation rho.
data simulate; do i=1 to 300; r1 = rand('NORMAL',-0.4,0.3); r2 = rand('NORMAL',-1.4,0.3); r3 = rand('NORMAL',-1.4,0.3); r1=0.5*r2+sqrt(1-0.5**2)*r3; output; end; proc corr data=simulate; var r1 r2; run;
Ksharp
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