Generating random correlation matrices based on partial correlations
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Publication:853948
DOI10.1016/j.jmva.2005.05.010zbMath1112.62055OpenAlexW2087691922MaRDI QIDQ853948
Publication date: 7 December 2006
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2005.05.010
Multivariate distribution of statistics (62H10) Measures of association (correlation, canonical correlation, etc.) (62H20) Determinants, permanents, traces, other special matrix functions (15A15) Random matrices (algebraic aspects) (15B52)
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Uses Software
Cites Work
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- The generation of pseudo- random correlation matrices
- Generation of correlation matrices with a given eigen–structure
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