An efficient algorithm for sampling from sink (x) for generating random correlation matrices

DOI10.1080/03610918.2019.1700277MaRDI QIDQ5083015zbMATH OpenOpenAlexFDO

Authors Enes Makalic, Daniel F. Schmidt

Publication date 21 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1809.05212

zbMATH Keywords

correlation matrixinverse transform samplingrejection sampling

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Sampling theory, sample surveys (62D05) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cites work

• Distribution of random correlation matrices: hyperspherical parameterization of the Cholesky factor
• scientific article; zbMATH DE number 2117879 (Why is no real title available?)
• Population correlation matrices for sampling experiments

Cited in

(3)

• randcorr
• Parameter expansion for sampling a correlation matrix: an efficient GPX-RPMH algorithm
• Generative machine learning for multivariate angular simulation

Describes a project that uses

Uses Software

• randcorr

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