rcorrmatrix {clusterGeneration} | R Documentation |
Generate a random correlation matrix based on random partial correlations.
rcorrmatrix(d,alphad=1)
d |
Dimension of the matrix. d should be a non-negative integer.
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alphad |
α parameter for partial of 1,d given 2,...,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.
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A correlation matrix.
Weiliang Qiu stwxq@channing.harvard.edu
Harry Joe harry@stat.ubc.ca
Joe, H. (2006) Generating Random Correlation Matrices Based on Partial Correlations. Journal of Multivariate Analysis, 97, 2177–2189.
rcorrmatrix(3) rcorrmatrix(5) rcorrmatrix(5,alphad=2.5)