rcorrmatrix function

GENERATE A RANDOM CORRELATION MATRIX BASED ON RANDOM PARTIAL CORRELATIONS

Generate a random correlation matrix based on random partial correlations.

rcorrmatrix(d, alphad = 1)

Arguments

• d: Dimension of the matrix. d should be a non-negative integer.
• alphad: $\alpha$ parameter for partial of $1,d$ given $2,\ldots,d-1$, for generating random correlation matrix based on the method proposed by Joe (2006), where $d$ is the dimension of the correlation matrix. The default value alphad$=1$ leads to a random matrix which is uniform over space of positive definite correlation matrices. Each correlation has a $Beta(a,a)$ distribution on $(-1,1)$ where $a=alphad+(d-2)/2$. alphad should be a positive number.

Returns

A correlation matrix.

References

Joe, H. (2006) Generating Random Correlation Matrices Based on Partial Correlations. Journal of Multivariate Analysis, 97 , 2177--2189.

Author(s)

Weiliang Qiu weiliang.qiu@gmail.com

Harry Joe harry@stat.ubc.ca

Examples

rcorrmatrix(3)
rcorrmatrix(5)
rcorrmatrix(5, alphad = 2.5)