randcorr
Generate a Random p x p Correlation Matrix
Implements the algorithm by Pourahmadi and Wang (2015) doi:10.1016/j.spl.2015.06.015 for generating a random p x p correlation matrix. Briefly, the idea is to represent the correlation matrix using Cholesky factorization and p(p-1)/2 hyperspherical coordinates (i.e., angles), sample the angles from a particular distribution and then convert to the standard correlation matrix form. The angles are sampled from a distribution with pdf proportional to sin^k(theta) (0 < theta < pi, k >= 1) using the efficient sampling algorithm described in Enes Makalic and Daniel F. Schmidt (2018) doi:10.48550/arXiv.1809.05212.
- Version1.0
- R versionunknown
- LicenseGPL (≥ 3)
- Needs compilation?No
- randcorr citation info
- Last release11/16/2018
Team
Daniel F. Schmidt
Enes Makalic
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