rcorr function

Random correlation matrix

Generates a random correlation matrix with the method of Marsaglia and Olkin (1984).

rcorr(d)

Arguments

• d: an integer > 0, the order of the correlation matrix.

Details

The algorithm uses rsphere to generate $d$

vectors on a sphere in $d$-space. If $Z$

is a matrix with such vectors as rows, then the random correlation matrix is $ZZ'$.

Returns

a correlation matrix of order d.

References

Marshall, G.& Olkin, I. (1984).Generating correlation matrices. SIAM J. Sci. Stat. Comput., 5, 2, 470--475.

Author(s)

Giovanni M. Marchetti

See Also

rsphere

Examples

## A random correlation matrix of order 3
rcorr(3)
## A random correlation matrix of order 5
rcorr(5)