Generating Correlation Matrices With Specified Eigenvalues Using the Method of Alternating Projections

DOI10.1080/00031305.2017.1401960OpenAlexW2777282507MaRDI QIDQ5869242

Niels G. Waller

Publication date: 28 September 2022

Published in: The American Statistician (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00031305.2017.1401960

zbMATH Keywords

optimizationMonte Carlosimulations

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Generic features in the spectral decomposition of correlation matrices

Uses Software

• Matlab
• R
• AS 127
• relaimpo

Cites Work

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• Generalized Finite Algorithms for Constructing Hermitian Matrices with Prescribed Diagonal and Spectrum

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