The correlation coefficient

The correlation coefficient to 0.6.

> D2_Wiener <- function() {
+     dev.new(width = 10, height = 4)
+     par(mfrow = c(1, 3), oma = c(0, 0, 2, 0))
+     for(i in 1:3) {
+         W1 <- cumsum(rnorm(100000))
+         W2 <- cumsum(rnorm(100000))
+         plot(W1,W2, type= "l", ylab = "", xlab = "")
+     }}

> mtext("2-dimensional Wiener-processes with no correlation",
+       outer = TRUE, cex = 1.5, line = -1)
> D2_Wiener()
> Correlated_Wiener <- function(cor) {
+     dev.new(width = 10, height = 4)
+     par(mfrow = c(1, 3), oma = c(0, 0, 2, 0))
+     for(i in 1:3) {
+         W1 <- cumsum(rnorm(100000))
+         W2 <- cumsum(rnorm(100000))
+         W3 <- cor * W1 + sqrt(1 - cor^2) * W2
+         plot(W1, W3, type= "l", ylab = "", xlab = "")
+     }}