rcorrmatrix: GENERATE A RANDOM CORRELATION MATRIX BASED ON RANDOM PARTIAL CORRELATIONS
Generate a random correlation matrix based on random partial correlations.
Dimension of the matrix. d should be a non-negative integer.
\(\alpha\) parameter for partial of \(1,d\) given \(2,\ldots,d-1\), for
generating random correlation matrix based on the method proposed by Joe (2006),
where \(d\) is the dimension of the correlation matrix.
The default value alphad\(=1\) leads to a random matrix which is
uniform over space of positive definite correlation matrices.
Each correlation has a \(Beta(a,a)\) distribution on \((-1,1)\) where
\(a=alphad+(d-2)/2\). alphad should be a positive number.
A correlation matrix.
Joe, H. (2006)
Generating Random Correlation Matrices Based on Partial Correlations.
Journal of Multivariate Analysis, 97, 2177--2189.