We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
A new method for generating random correlation matrices.
- Authors
Archakov, Ilya; Hansen, Peter Reinhard; Luo, Yiyao
- Abstract
We propose a new method for generating random correlation matrices that makes it simple to control both location and dispersion. The method is based on a vector parameterization, |$\gamma =g(C)$| , which maps any distribution on |$\mathbb {R}^{n(n-1)/2}$| to a distribution on the space of nonsingular |$n\times n$| correlation matrices. Correlation matrices with certain properties, such as being well-conditioned, having block structures, and having strictly positive elements, are simple to generate. We compare the new method with existing methods.
- Subjects
RANDOM matrices; PARAMETERIZATION; MATRICES (Mathematics)
- Publication
Econometrics Journal, 2024, Vol 27, Issue 2, p188
- ISSN
1368-4221
- Publication type
Article
- DOI
10.1093/ectj/utad027