Generation of correlation matrices with a given eigen–structure

DOI10.1080/00949657508810116zbMath0324.65003OpenAlexW2010963344MaRDI QIDQ4088185

C. P. Chalmers

Publication date: 1975

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

Full work available at URL: https://doi.org/10.1080/00949657508810116

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10)

Related Items (7)

Generating random correlation matrices based on partial correlations ⋮ The Volume of the Spatial Region Corresponding to <em>n</em> × <em>n</em> Correlation Matrices ⋮ Model-based principal components of correlation matrices ⋮ Population correlation matrices for sampling experiments ⋮ Generic features in the spectral decomposition of correlation matrices ⋮ A new method of generating correlation matrices ⋮ Generating Correlation Matrices With Specified Eigenvalues Using the Method of Alternating Projections

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