randcorr
This function implements the algorithm by Pourahmadi and Wang [1] for generating a random p x p correlation matrix. Briefly, the idea is to represent the correlation matrix using Cholesky factorization and p(p-1)/2 hyperspherical coordinates (i.e., angles), sample the angles form a particular distribution and then convert to the standard correlation matrix form. The angles are sampled from a distribution with probability density function sin^k(theta) (0 < theta < pi, k >= 1) using the efficient sampling algorithm described in [2].
References:
[1] Mohsen Pourahmadi and Xiao Wang, Distribution of random correlation matrices: Hyperspherical parameterization of the Cholesky factor, Statistics & Probability Letters, Volume 106, November 2015, Pages 5-12
[2] Enes Makalic and Daniel F. Schmidt, An efficient algorithm for sampling from $\sin^k(x)$ for generating random correlation matrices, arxiv, 2018
Citar como
Statovic (2024). randcorr (https://www.mathworks.com/matlabcentral/fileexchange/68810-randcorr), MATLAB Central File Exchange. Recuperado .
Compatibilidad con la versión de MATLAB
Compatibilidad con las plataformas
Windows macOS LinuxCategorías
Etiquetas
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!Descubra Live Editor
Cree scripts con código, salida y texto formateado en un documento ejecutable.