clusterGeneration (version 1.3.7)

# rcorrmatrix: GENERATE A RANDOM CORRELATION MATRIX BASED ON RANDOM PARTIAL CORRELATIONS

## Description

Generate a random correlation matrix based on random partial correlations.

## Usage

rcorrmatrix(d, alphad = 1)

## Arguments

d

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.

## Value

A correlation matrix.

## References

Joe, H. (2006) Generating Random Correlation Matrices Based on Partial Correlations. Journal of Multivariate Analysis, 97, 2177--2189.

## Examples

# NOT RUN {
rcorrmatrix(3)
rcorrmatrix(5)