Generation of correlation matrices with a given eigen–structure

DOI10.1080/00949657508810116MaRDI QIDQ4088185zbMATH OpenOpenAlexFDO

Authors 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)

Cited in

(11)

• A new method of generating correlation matrices
• Model-based principal components of correlation matrices
• Population correlation matrices for sampling experiments
• The volume of the spatial region corresponding to n n correlation matrices
• Generic features in the spectral decomposition of correlation matrices
• Generating Correlation Matrices With Specified Eigenvalues Using the Method of Alternating Projections
• Random correlation matrices generated via partial correlation C-vines
• A Simple and Fast Algorithm for Generating Correlation Matrices with a Known Average Correlation Coefficient
• A new method for generating random correlation matrices
• CM-generator: an approach for generating customized correlation matrices
• Generating random correlation matrices based on partial correlations

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