Generating random correlation matrices based on partial correlations

Harry Joe

Journal of Multivariate Analysis, 2006, vol. 97, issue 10, 2177-2189

Abstract: A d-dimensional positive definite correlation matrix R=([rho]ij) can be parametrized in terms of the correlations [rho]i,i+1 for i=1,...,d-1, and the partial correlations [rho]iji+1,...j-1 for j-i[greater-or-equal, slanted]2. These parameters can independently take values in the interval (-1,1). Hence we can generate a random positive definite correlation matrix by choosing independent distributions Fij, 1[less-than-or-equals, slant]i

Keywords: Beta; distribution; Determinant; of; correlation; matrix (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (47)

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