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As part of a simulation study, I would like to create multivariate data that follow a specific covariance matrix. In this study I would like to be able to show that my algorithm is able to find highly correlated data between two datasets. Also, I would like to include collinearity, in a form of defining the number of explanatory and response variables that correlate with each other.

Hereby the R code for the problem:

  library(MASS)


  nr_individuals  = 2000    #nr of observations
  high.nr.x       = 4       #nr of highly correlated variables in X - (explonatory)
  high.nr.y       = 6       #nr of highly correlated variables in Y - (response)
  highCorBetween  = 20      #correlation between the highly correlated variables
  lowCorX         = 3      #correlation between variables in X
  lowCorY         = 1       #correlation between variables in Y


  #SIMULATE CORRELATED COLUMNS
  total.cols = high.nr.x+high.nr.y

  #make correlation matrix
  CorCols = diag(total.cols)
  CorCols[,] =  highCorBetween    #insert highly correlated variables
  CorCols[,] = CorCols[,] - sample(-3:3, total.cols^2, replace=TRUE)  #make data a more realistic

  #introduce negative correlation
  negatives <- sample(length(CorCols), total.cols/2, replace=TRUE)
  for(e in negatives)
    CorCols[e] = CorCols[e] * -1

  #put correlation within X in covariance matrrix
  CorCols[1:high.nr.x,1:high.nr.x] = lowCorX

  #correlation within Y
  CorCols[(high.nr.x+1):(total.cols),(high.nr.x+1):(total.cols)] = lowCorY

  #put diagonals on 100
  diag(CorCols) = 100

  #make covariance matrix symmetric
  CorCols.u <- CorCols
  CorCols.u[upper.tri(CorCols, F)] = 0
  CorCols.l <- t(CorCols.u)
  CorCols = CorCols.l + CorCols.u
  diag(CorCols) = 100

  #CorCols = CorCols/100

  #generate a high correlated matrix
  #CorCols.m = rmvnorm(n = nr_individuals, mean = rep(0,high.nr.x+high.nr.y), CorCols)
  CorCols.m = mvrnorm(n = nr_individuals, mu = rep(0,high.nr.x+high.nr.y), CorCols)
  #*****************************

  CorCols

  cov((CorCols.m))

This produces the following covariance matrix:

   >   CorCols
      [,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10]
 [1,]  100    3    3    3   22  -17   18   23   18   -17
 [2,]    3  100    3    3   22  -23   19   21   18    17
 [3,]    3    3  100    3   22   20   22   23   22    17
 [4,]    3    3    3  100   19   21   17   22   23    19
 [5,]   22   22   22   19  100    1    1    1    1     1
 [6,]  -17  -23   20   21    1  100    1    1    1     1
 [7,]   18   19   22   17    1    1  100    1    1     1
 [8,]   23   21   23   22    1    1    1  100    1     1
 [9,]   18   18   22   23    1    1    1    1  100     1
[10,]  -17   17   17   19    1    1    1    1    1   100
>   
>   cov((CorCols.m))
            [,1]       [,2]       [,3]      [,4]         [,5]         [,6]       [,7]        [,8]        [,9]       [,10]
 [1,] 102.488311   6.478105   3.544439  1.235431  25.93322414 -19.06442718 15.5860641  20.1082330  19.4726431 -16.3888262
 [2,]   6.478105 104.079934   5.955973  4.596520  23.09775179 -24.61767577 18.9976206  26.5669763  20.3534901  18.8990530
 [3,]   3.544439   5.955973 108.301280  1.307604  23.65638341  24.55354464 24.8988210  22.7098385  23.1617868  16.9418012
 [4,]   1.235431   4.596520   1.307604 98.914409  18.31694271  19.58798486 18.5691044  24.0341383  20.1565850  18.4877265
 [5,]  25.933224  23.097752  23.656383 18.316943 102.52463872   0.08230676  2.3322417   2.9476010   3.2918859   1.5124856
 [6,] -19.064427 -24.617676  24.553545 19.587985   0.08230676 100.48101959  2.1288953   0.2182186   2.9399330   1.3138298
 [7,]  15.586064  18.997621  24.898821 18.569104   2.33224168   2.12889526 96.6045039   2.2321378   0.3256926   2.1856988
 [8,]  20.108233  26.566976  22.709839 24.034138   2.94760099   0.21821861  2.2321378 102.9477339   2.0669838   0.5530647
 [9,]  19.472643  20.353490  23.161787 20.156585   3.29188587   2.93993300  0.3256926   2.0669838 101.4802341   1.3955998
[10,] -16.388826  18.899053  16.941801 18.487726   1.51248555   1.31382981  2.1856988   0.5530647   1.3955998  98.7497249

However, if I change the high correlation to value .8, that is

highCorBetween  = 80      #correlation between the highly correlated variables

I get the error message of "'Sigma' is not positive definite":

CorCols
      [,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10]
 [1,]  100    3    3    3   83   79   83   79   79    77
 [2,]    3  100    3    3   83  -81   77   78   77    82
 [3,]    3    3  100    3   80   80   78   80   78    80
 [4,]    3    3    3  100   83   80   79   79   79    82
 [5,]   83   83   80   83  100    1    1    1    1     1
 [6,]   79  -81   80   80    1  100    1    1    1     1
 [7,]   83   77   78   79    1    1  100    1    1     1
 [8,]   79   78   80   79    1    1    1  100    1     1
 [9,]   79   77   78   79    1    1    1    1  100     1
[10,]   77   82   80   82    1    1    1    1    1   100
> CorCols.m = mvrnorm(n = nr_individuals, mu = rep(0,high.nr.x+high.nr.y), CorCols)
Error in mvrnorm(n = nr_individuals, mu = rep(0, high.nr.x + high.nr.y),  : 
  'Sigma' is not positive definite

I tried to change the tolerance parameter in mvrnorm() function, for example tol=1, but that would only solve the problem of getting an error, the covariance matrix still wouldn't look like that resembles the model matrix (correlation in-between variables for both X and Y increase hugely):

> CorCols
      [,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10]
 [1,]  100    3    3    3   83   79   83   79   79    77
 [2,]    3  100    3    3   83  -81   77   78   77    82
 [3,]    3    3  100    3   80   80   78   80   78    80
 [4,]    3    3    3  100   83   80   79   79   79    82
 [5,]   83   83   80   83  100    1    1    1    1     1
 [6,]   79  -81   80   80    1  100    1    1    1     1
 [7,]   83   77   78   79    1    1  100    1    1     1
 [8,]   79   78   80   79    1    1    1  100    1     1
 [9,]   79   77   78   79    1    1    1    1  100     1
[10,]   77   82   80   82    1    1    1    1    1   100
>   CorCols.m = mvrnorm(n = nr_individuals, mu = rep(0,high.nr.x+high.nr.y), CorCols, tol =1)
>   #*****************************
>   
>   cov((CorCols.m))
           [,1]      [,2]      [,3]      [,4]      [,5]      [,6]      [,7]      [,8]      [,9]     [,10]
 [1,] 129.92109  25.83637  40.40527  35.12365  50.61760  54.51044  48.49376  49.51910  46.92675  45.92999
 [2,]  25.83637 135.09280  26.79751  24.19305  54.26442 -77.79020  47.86738  52.82103  55.25732  54.82464
 [3,]  40.40527  26.79751 140.75243  44.46343  53.67213  61.96498  53.79998  52.06622  52.12298  49.71284
 [4,]  35.12365  24.19305  44.46343 135.61404  51.25497  60.02818  49.28677  47.03124  48.73891  52.63492
 [5,]  50.61760  54.26442  53.67213  51.25497 129.96128  15.43909  19.99275  26.70164  26.35219  24.13483
 [6,]  54.51044 -77.79020  61.96498  60.02818  15.43909 125.73316  16.46839  12.46468  10.06989  13.02532
 [7,]  48.49376  47.86738  53.79998  49.28677  19.99275  16.46839 119.76993  28.25129  25.61649  25.96538
 [8,]  49.51910  52.82103  52.06622  47.03124  26.70164  12.46468  28.25129 119.88476  23.82021  24.48806
 [9,]  46.92675  55.25732  52.12298  48.73891  26.35219  10.06989  25.61649  23.82021 126.18663  24.85941
[10,]  45.92999  54.82464  49.71284  52.63492  24.13483  13.02532  25.96538  24.48806  24.85941 123.65103

Is there any workarounds for this problem? That is, how could I generate data that has a covariance matrix that follows closely the model matrix of a few highly correlated variables between X and Y yet having low correlation between variables in X and between variables in Y separately (such as the one denoted CorCols in the last code sample).

Any suggestions and references are welcome. Thank you!

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  • 4
    $\begingroup$ Closely related: Is every covariance matrix positive definite? (answer: every valid covariance matrix has to be positive semi-definite) and Is a sample covariance matrix always symmetric and positive definite?. Some matrices just can't be covariance matrices, which means you can't simulate data with that covariance structure. $\endgroup$ – Silverfish Mar 7 '16 at 9:30
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    $\begingroup$ I encounter the problem of not positive definite matrices Your second matrix (following these words) appears negatively definite. I.e. it has some negative eigenvalues (and no zero eigenvalues). No real data (having no missings) can ever correspond to such a covariance matrix. Only positive (semi)definite cov matrix can have corresponding data. $\endgroup$ – ttnphns Mar 7 '16 at 9:33
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    $\begingroup$ @ttnphns: "Negative-definite" means that all eigenvalues are negative, not only some of them. $\endgroup$ – amoeba Mar 7 '16 at 10:01
  • $\begingroup$ @amoeba, eh... I don't remember. Maybe you are correct in terminology. I will check. It doesn't matter here. $\endgroup$ – ttnphns Mar 7 '16 at 10:10
  • 1
    $\begingroup$ @amoeba Thank you for your comment, now I have read the comments. It seams like I would have to accept the answer of Silverfish that it is not possible to generate data that would satisfy my predefined covariance matrix. Thank you all for the comments! $\endgroup$ – 01000001 Jan 10 '17 at 10:39

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