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Date
14 octobre 2022
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- 2210.08147
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Matrix algebra Algebra, Matrix Matrixes (Algebra) Cracovians (Mathematics)Citer ce document
Ilya Archakov et al., « A New Method for Generating Random Correlation Matrices », arXiv - économie
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We propose a new method for generating random correlation matrices that makes it simple to control both location and dispersion. The method is based on a vector parameterization, gamma = g(C), which maps any distribution on R^d, d = n(n-1)/2 to a distribution on the space of non-singular nxn correlation matrices. Correlation matrices with certain properties, such as being well-conditioned, having block structures, and having strictly positive elements, are simple to generate. We compare the new method with existing methods.