create_correlation_matrices: Simulate a Sample of Correlation Matrices

In itamarfaran/corrfuncs: Analysis of populations of correlation matrices

Description

will call rWishart_ARMA. before returning the array, will apply cov2cor on each matrix.

Usage

create_correlation_matrices(
  n,
  df,
  Sigma,
  AR = NULL,
  MA = NULL,
  random_effect = NULL,
  ncores = 1
)

Arguments

n	integer sample size.
df	numeric parameter, “degrees of freedom”. can be lower than the dimension of Sigma
Sigma	semi positive definite (p * p) “scale” matrix, the matrix parameter of the distribution.
AR	a vector representing the Auto-regressive part of the multivariate ARMA process
MA	a vector representing the Moving-average part of the multivariate ARMA process
random_effect	generate a random effect for each matrix with generate_random_effect_sigma
ncores	number of cores to use, if parallelized.

Value

an array of correlation matrices.

itamarfaran/corrfuncs documentation built on Nov. 26, 2021, 12:02 p.m.