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Sample correlation (covariance) matrices from a population correlation matrix (see Browne, 1968; Kshirsagar, 1959)
corSample(R, n)
Sample correlation matrix.
Sample covariance matrix.
A population correlation matrix.
Sample correlation (covariance) matrices will be generated assuming a sample size of n.
Niels Waller
Browne, M. (1968). A comparison of factor analytic techniques. Psychometrika, 33(3), 267-334.
Kshirsagar, A. (1959). Bartlett decomposition and Wishart distribution. The Annals of Mathematical Statistics, 30(1), 239-241.
R <- matrix(c(1, .5, .5, 1), 2, 2) # generate a sample correlation from pop R with n = 25 out <- corSample(R, n = 25) out$cor.sample out$cov.sample
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