A method for generating realistic correlation matrices

DOI10.1214/13-AOAS638zbMath1454.62021arXiv1106.5834MaRDI QIDQ386759

Mohammad Hasan, H. S. Yoon

Publication date: 10 December 2013

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1106.5834

zbMATH Keywords

eigenvalues; Toeplitz matrix; correlation matrix; simulating matrices; Weyl inequalities

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

62H30: Classification and discrimination; cluster analysis (statistical aspects)

15B52: Random matrices (algebraic aspects)

15B05: Toeplitz, Cauchy, and related matrices

Uses Software

• rda
• WGCNA
• scout
• dynamicTreeCut
• GCTA
• clusfind
• ParaKMeans