randcorr-package: The randcorr package
In randcorr: Generate a Random p x p Correlation Matrix

Description Details Note Author(s) References See Also

This package contains a function to generate a random p x p correlation matrix. This function implements the algorithm by Pourahmadi and Wang [1] for generating a random p x p correlation matrix. Briefly, the idea is to represent the correlation matrix using Cholesky factorization and p(p-1)/2 hyperspherical coordinates (i.e., angles), sample the angles from a particular distribution and then convert to the standard correlation matrix form. The angles are sampled from a distribution with a probability density function proportional to sin^k(theta) (0 < theta < pi, k >= 1) using the efficient sampling algorithm described in [2].

For usage, see the examples in randcorr and randcorr.sample.sink.

To cite this package please reference:

Makalic, E. & Schmidt, D. F. An efficient algorithm for sampling from sin^k(x) for generating random correlation matrices arXiv:1809.05212, 2018 https://arxiv.org/abs/1809.05212

A MATLAB-compatible implementation of the sampler in this package can be obtained from:

https://au.mathworks.com/matlabcentral/fileexchange/68810-randcorr

Daniel Schmidt daniel.schmidt@monash.edu

Faculty of Information Technology, Monash University, Australia

Enes Makalic emakalic@unimelb.edu.au

Centre for Epidemiology and Biostatistics, The University of Melbourne, Australia

[1] Mohsen Pourahmadi and Xiao Wang, Distribution of random correlation matrices: Hyperspherical parameterization of the Cholesky factor, Statistics & Probability Letters, Volume 106, Pages 5-12, 2015.

[2] Enes Makalic and Daniel F. Schmidt An efficient algorithm for sampling from sin^k(x) for generating random correlation matrices, arXiv:1809.05212, 2018.

randcorr, randcorr.sample.sink

randcorr documentation built on May 2, 2019, 7:01 a.m.