RandomCorm: Generate a valid correlation matrix

In christophercschwarz/DOPE: Distributions of Possible Effects

Description

Generates a valid correlation matrix of desired size. Repeatedly augments until desired size is met. Currently implimented in both R and C++. The C++ version is faster while the R version is easier for the expected user base to read and modify as needed.

Usage

  RandomCorm(nvars, buff = sqrt(.Machine$double.eps))
  RandomCormCPP(nvars, buff = sqrt(.Machine$double.eps))

Arguments

nvars	numeric size of desired correlation matrix
buff	numeric. A buffer to avoid numeric positive non-definiteness.

Value

A valid nvars by nvars correlation matrix.

Examples

  set.seed(1234)
  RandomCormCPP(5)

christophercschwarz/DOPE documentation built on April 10, 2020, 4:43 a.m.