Creating correlated random variables is an easy task in R, especially the normal distribution. But what I need is to generate variables (for example 5 standard normals) with very low correlations (e.g., below 0.05). I tried
mvtnorm package several times with no success.
I'm just curious, we use methods (like Cholesky decomposition) to transform uncorrelated variables into correlated. Can we do it the other way around?
Edit: I want a method that makes multiple "correlated" normal variables "extremely low correlated" without trial & error with a reasonable sample size (say 50) implemented in R.