Generating Correlation Matrices

DOI10.1137/0905034zbMath0552.65006OpenAlexW2000295531WikidataQ101424851 ScholiaQ101424851MaRDI QIDQ3345657

George Marsaglia, Ingram Olkin

Publication date: 1984

Published in: SIAM Journal on Scientific and Statistical Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0905034

zbMATH Keywords

random correlation matrices

Mathematics Subject Classification ID

Related Items (19)

Generating random correlation matrices based on partial correlations ⋮ Randomly generating portfolio-selection covariance matrices with specified distributional characteristics ⋮ The Volume of the Spatial Region Corresponding to <em>n</em> × <em>n</em> Correlation Matrices ⋮ On decompositional algorithms for uniform sampling from \(n\)-spheres and \(n\)-balls ⋮ A method for generating realistic correlation matrices ⋮ Direct formulation to Cholesky decomposition of a general nonsingular correlation matrix ⋮ Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property ⋮ Solving an inverse eigenvalue problem with triple constraints on eigenvalues, singular values, and diagonal elements ⋮ How should the cost of joint risk capital be allocated for performance measurement? ⋮ Distribution of random correlation matrices: hyperspherical parameterization of the Cholesky factor ⋮ Correlation matrices with average constraints ⋮ The geometry of enhancement in multiple regression ⋮ Generating random correlation matrices by the simple rejection method: why it does not work ⋮ Correlation weights in multiple regression ⋮ Generic features in the spectral decomposition of correlation matrices ⋮ Probability bounds given by hypercherry trees ⋮ A Geometric Perspective on the Power of Principal Component Association Tests in Multiple Phenotype Studies ⋮ Generating Correlation Matrices With Specified Eigenvalues Using the Method of Alternating Projections ⋮ Managing single echelon inventories through demand aggregation and the feasibility of a correlation matrix

This page was built for publication: Generating Correlation Matrices