Date: Fri, 19 Mar 2010 11:05:16 -0700 "dc353@hotmail.com" "SAS(r) Discussion" "dc353@hotmail.com" http://groups.google.com Re: create second random variable with 0 correlation To: sas-l@uga.edu text/plain; charset=ISO-8859-1

On Mar 19, 12:57 pm, Paige Miller <paige.mil...@kodak.com> wrote: > On Mar 19, 12:38 pm, "dc...@hotmail.com" <dc...@hotmail.com> wrote: > > > Hi; > > > 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... > > -- > Paige Miller > paige\dot\miller \at\ kodak\dot\com

Paige,

the population correlation may be 0 but the sample correlation isn't. I'm looking to create a second random variable with sample correlation of 0, once that's done getting the sample correlation to equal .2 is relatively straightforward. If you use the rand() function in excel and create two random variables you quickly see what I'm talking about. Thanks.

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