BadRLG: Improper R matrix reported by Lurie and Goldberg

Description Format Source Examples

Description

Example improper R matrix reported by Lurie and Goldberg

Format

A 3 by 3 non-positive definite correlation matrix.

Source

Lurie, P. M. & Goldberg, M. S. (1998). An approximate method for sampling correlated random variables from partially-specified distributions. Management Science, 44(2), 203–218.

Examples

1

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