Solved – Using Uniform Distribution to Generate Correlated Random Samples in R

Since the question is

"how to use the Uniform distribution to generate correlated random numbers from different marginal distributions in $mathbb{R}$"

and not only normal random variates, the above answer does not produce simulations with the intended correlation for an arbitrary pair of marginal distributions in $mathbb{R}$.

The reason is that, for most cdfs $G_X$ and $G_Y$,$$text{cor}(X,Y)netext{cor}(G_X^{-1}(Phi(X),G_Y^{-1}(Phi(Y)),$$when$$(X,Y)simtext{N}_2(0,Sigma),$$where $Phi$ denotes the standard normal cdf.

To wit, here is a counter-example with an Exp(1) and a Gamma(.2,1) as my pair of marginal distributions in $mathbb{R}$.

library(mvtnorm) #correlated normals with correlation 0.7 x=rmvnorm(1e4,mean=c(0,0),sigma=matrix(c(1,.7,.7,1),ncol=2),meth="chol") cor(x[,1],x[,2])   [1] 0.704503 y=pnorm(x) #correlated uniforms cor(y[,1],y[,2])   [1] 0.6860069 #correlated Exp(1) and Ga(.2,1) cor(-log(1-y[,1]),qgamma(y[,2],shape=.2))   [1] 0.5840085 

Another obvious counter-example is when $G_X$ is the Cauchy cdf, in which case the correlation is not defined.

To give a broader picture, here is an R code where both $G_X$ and $G_Y$ are arbitrary:

etacor=function(rho=0,nsim=1e4,fx=qnorm,fy=qnorm){   #generate a bivariate correlated normal sample   x1=rnorm(nsim);x2=rnorm(nsim)   if (length(rho)==1){     y=pnorm(cbind(x1,rho*x1+sqrt((1-rho^2))*x2))     return(cor(fx(y[,1]),fy(y[,2])))     }   coeur=rho   rho2=sqrt(1-rho^2)   for (t in 1:length(rho)){      y=pnorm(cbind(x1,rho[t]*x1+rho2[t]*x2))      coeur[t]=cor(fx(y[,1]),fy(y[,2]))}   return(coeur)   } 

Playing around with different cdfs led me to single out this special case of a $chi^2_3$ distribution for $G_X$ and a log-Normal distribution for $G_Y$:

rhos=seq(-1,1,by=.01) trancor=etacor(rho=rhos,fx=function(x){qchisq(x,df=3)},fy=qlnorm) plot(rhos,trancor,ty="l",ylim=c(-1,1)) abline(a=0,b=1,lty=2) 

which shows how far from the diagonal the correlation can be.

A final warning Given two arbitrary distributions $G_X$ and $G_Y$, the range of possible values of $text{cor}(X,Y)$ is not necessarily $(-1,1)$. The problem may thus have no solution.