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

DOI10.1080/03610918.2019.1700277OpenAlexW3042730190MaRDI QIDQ5083015FDOQ5083015

Daniel F. Schmidt, Enes Makalic

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 matrixrejection samplinginverse transform 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

• Title not available (Why is that?)
• Population correlation matrices for sampling experiments
• Distribution of random correlation matrices: hyperspherical parameterization of the Cholesky factor

Cited In (2)

• randcorr
• Parameter expansion for sampling a correlation matrix: an efficient GPX-RPMH algorithm

Uses Software

• randcorr

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