A new method for generating random correlation matrices

Ilya Archakov, Peter Hansen and Yiyao Luo

The Econometrics Journal, 2024, vol. 27, issue 2, 188-212

Abstract: SummaryWe propose a new method for generating random correlation matrices that makes it simple to control both location and dispersion. The method is based on a vector parameterization, , which maps any distribution onto a distribution on the space of nonsingularcorrelation matrices. Correlation matrices with certain properties, such as being well-conditioned, having block structures, and having strictly positive elements, are simple to generate. We compare the new method with existing methods.

Keywords: Random correlation matrix; Fisher transformation; covariance modelling (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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Working Paper: A New Method for Generating Random Correlation Matrices (2022)
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