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.

alphad

\(\alpha\) 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)
rcorrmatrix(5, alphad = 2.5)
# }