I am interested in generating correlated, skewed data in order to evaluate the application of a statistical approach to a data set I am analyzing. Specifically, I have two correlated variables, and I can determine the correlation coefficient ($R^2$) between the two, as well as the shape, scale and location of each skewed distribution using the sn.em command within the sn package for R.
I can generate a skewed distribution using the rsnorm function within the VGAM package. However, I cannot tell it to generate a second vector that is correlated to the first, also skewed, and has its own specific set of shape, scale and location parameters as calculated from the data.
Any advice on how to do this would be greatly appreciated, and thank you in advance!