CRAN/E | randcorr

randcorr

Generate a Random p x p Correlation Matrix

Installation

About

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) .

Citation randcorr citation info

Key Metrics

Version 1.0
Published 2018-11-16 2157 days ago
Needs compilation? no
License GPL (≥ 3)
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Maintainer

Maintainer

Daniel F. Schmidt

Authors

Daniel F. Schmidt

aut / cph / cre

Enes Makalic

aut / cph

Material

Reference manual
Package source

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64