How to Simulate Multivariate Random Variables in R (Example Code)

On this page you’ll learn how to create multivariate random variables in the R programming language.

Example: Create Multivariate Random Data Set Using the mvrnorm() Function of the MASS Package

install.packages("MASS")                 # Install & load MASS
library("MASS")
cor_mat <- matrix(c(1, 0.1, 0.7, 0.5,    # Create correlation matrix
                    0.1, 1, 0.6, 0.2,
                    0.7, 0.6, 1, 0.3,
                    0.5, 0.2, 0.3, 1),
                  nrow = 4)
cor_mat                                  # Print correlation matrix
#      [,1] [,2] [,3] [,4]
# [1,]  1.0  0.1  0.7  0.5
# [2,]  0.1  1.0  0.6  0.2
# [3,]  0.7  0.6  1.0  0.3
# [4,]  0.5  0.2  0.3  1.0
set.seed(56832)                          # Set random seed
df_rand <- mvrnorm(n = 5000,             # Generate random multivariate data
                   mu = 1:4,
                   Sigma = cor_mat)
head(df_rand)                            # Show random data
#             [,1]      [,2]     [,3]     [,4]
# [1,] -0.05704288 0.9567854 2.057415 4.527190
# [2,]  0.91550241 1.0366073 3.197887 4.539859
# [3,] -0.05532218 1.0616700 2.022091 2.635634
# [4,]  2.03027930 2.4729577 2.860940 4.342003
# [5,]  2.29906767 3.3044178 4.608380 4.837060
# [6,]  0.82928454 2.8524927 2.742915 3.803645
cor(df_rand)                             # Print correlation matrix of random data
#            [,1]       [,2]      [,3]      [,4]
# [1,] 1.00000000 0.08922849 0.6950656 0.5073786
# [2,] 0.08922849 1.00000000 0.5849754 0.2226230
# [3,] 0.69506560 0.58497538 1.0000000 0.3092777
# [4,] 0.50737862 0.22262299 0.3092777 1.0000000

Leave a Reply

Your email address will not be published.

Fill out this field
Fill out this field
Please enter a valid email address.
You need to agree with the terms to proceed

Menu
Top