One way of generating a sparse, positive definite [square] correlation matrix
1 | sparseSigma(dimension, sparsity = 0.6, center = 0)
|
dimension |
number of rows/cols |
sparsity |
controls probability of sparsity by setting the standard deviation of truncated normal distribution. Lower SD -> higher probability of a draw |
center |
correlations distributed around center [default = 0.0] |
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