The generation of pseudo- random correlation matrices

DOI10.1080/00949658008810389zbMath0472.65004OpenAlexW2016956370MaRDI QIDQ3925780

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Publication date: 1980

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949658008810389

zbMATH Keywords

multivariate normal distributionbeta distributionpseudo-random correlation matrices

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Random number generation in numerical analysis (65C10)

Related Items (5)

Generating random correlation matrices based on partial correlations ⋮ The asymptotic distribution of the determinant of a random correlation matrix ⋮ Distribution of random correlation matrices: hyperspherical parameterization of the Cholesky factor ⋮ A bayes test for simple versus one-sided hypothesis on the mean vector of a multivariate normal Distribution ⋮ Generating Correlation Matrices With Specified Eigenvalues Using the Method of Alternating Projections

Cites Work

• Erzeugung von betaverteilten und gammaverteilten Zufallszahlen
• Comparison of Stopping Rules in Forward "Stepwise" Regression

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