rcorr | R Documentation |
Generates a random correlation matrix with the method of Marsaglia and Olkin (1984).
rcorr(d)
d |
an integer > 0, the order of the correlation matrix. |
The algorithm uses rsphere
to generate d
vectors on a sphere in d
-space. If Z
is a matrix with such vectors as rows, then the random
correlation matrix is ZZ'
.
a correlation matrix of order d
.
Giovanni M. Marchetti
Marshall, G.& Olkin, I. (1984).Generating correlation matrices. SIAM J. Sci. Stat. Comput., 5, 2, 470–475.
rsphere
## A random correlation matrix of order 3
rcorr(3)
## A random correlation matrix of order 5
rcorr(5)
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