On Mar 19, 12:38 pm, "dc...@hotmail.com" <dc...@hotmail.com> wrote:
> could someone suggest how to calculate a random variable with 0
> correlation to a series of know observations?
> I have a dataset that consists of stock price returns for one stock on
> a dly basis. Total number of observations is 200. I need to create a
> random variable with 200 observations that has a correlation of .2
> with this dataset
You ask for a random variable that has zero correlation with another
RV? That's easy, just use any random number generator, your new
variable is uncorrelated with the old.
You ask for a random variable that has 0.2 correlation with another
RV? The method is here: http://www.uvm.edu/~dhowell/StatPages/More_Stuff/Gener_Correl_Numbers.html
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