Example of iman conover

gistfile1.txt

import pandas as pd

## dummy covariance matrix
cov = eye(2) + -.7
fill_diagonal(cov, 1)

# a little bit of non correalted random variates
# also sometimes called the marginal distributions

n = 10000
inputData = pd.DataFrame({'a': np.random.normal(0,10,n), 'b': np.random.normal(10,20,n)})


def makeCorrelated( y,  corMatrix ):
    c = multivariate_normal(zeros(size( y, 1 ) ) , corMatrix, size( y, 0 ) )
    key = argsort( argsort(c, axis=0), axis=0 ).T
    out = map(take, map(sort, y.values.T), key)
    out = array(out)
    return pd.DataFrame(out).T
    
correlated = makeCorrelated( inputData,  cov )

p = pd.scatter_matrix( correlated )