Description Usage Arguments Details Value Author(s) See Also Examples

Generate random PSD correlation matrices.

1 | ```
rcor(Nvar)
``` |

`Nvar` |
An integer that determines the order of the random correlation matrix. |

rcor generates random PSD correlation matrices by (1) generating Nvar squared random normal deviates, (2) scaling the deviates to sum to Nvar, and then (3) placing the scaled values into a diagonal matrix L. Next, (4) an Nvar x Nvar orthogonal matrix, Q, is created by performing a QR decomposition of a matrix, M, that contains random normal deviates. (5) A PSD covariance matrix, C, is created from Q L Q^T and then (6) scaled to a correlation metric.

`A random correlation matrix.` |

Niels Waller

1 2 |

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