ggm (version 2.2)

rcorr: Random correlation matrix

Description

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

Usage

rcorr(d)

Arguments

d

an integer > 0, the order of the correlation matrix.

Value

• a correlation matrix of order d.

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 $ZZ'$.

References

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

See Also

rsphere

Examples

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