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fifer (version 1.1)

random.correlation: Generate a random correlation matrix

Description

Generate a random correlation matrix from specified eigenvalues. If eigenvalues are not specified, they are randomly generated from a uniform [0,10] distribution.

Usage

random.correlation(n, ev = runif(n, 0, 10))

Arguments

n
the number of rows/dimensions of the correlation matrix
ev
Eigenvalues. Defaults to sampling from a uniform distribution betwen 0 and 10.

Value

a correlation matrix, of size nxn

References

https://stat.ethz.ch/pipermail/r-help/2008-February/153708.html