randcorr

cranv1.0

Generate a Random p x p Correlation Matrix. Implements the algorithm by Pourahmadi and Wang (2015) <doi:10.1016/j.spl.2015.06.015> 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 fro

License GPL (>= 3)0 versions1 maintainers0 deps69 weekly dl
https://CRAN.R-project.org/package=randcorr
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First published · 2018-11-16 15:32:31

Last updated · 2018-11-16T14:30:03+00:00