A method for generating realistic correlation matrices
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Publication:386759
DOI10.1214/13-AOAS638zbMath1454.62021arXiv1106.5834MaRDI QIDQ386759
Publication date: 10 December 2013
Published in: The Annals of Applied Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1106.5834
Computational methods for problems pertaining to statistics (62-08) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Random matrices (algebraic aspects) (15B52) Toeplitz, Cauchy, and related matrices (15B05)
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Uses Software
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