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Random correlation matrix
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A new method for generating random correlation matrices
Archakov, Ilya
;
Hansen, Peter Reinhard
;
Luo, Yiyao
- In:
The econometrics journal
27
(
2024
)
2
,
pp. 188-212
Persistent link: https://www.econbiz.de/10015046370
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Generating random correlation matrices by the simple rejection method: Why it does not work
Böhm, Walter
;
Hornik, Kurt
- In:
Statistics & Probability Letters
87
(
2014
)
C
,
pp. 27-30
diagonal elements i.i.d. uniform on (−1,1) is positive definite (and thus a “
random
correlation
matrix
”): this is almost never …
Persistent link: https://www.econbiz.de/10011039789
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