fungible (version 2.2.2)

genCorr: Generate Correlation Matrices with User-Defined Eigenvalues

Description

Uses the Marsaglia and Olkin (1984) algorithm to generate correlation matrices with user-defined eigenvalues.

Usage

genCorr(eigenval, seed = "rand")

Value

Returns a correlation matrix with the eigen-stucture specified by eigenval.

Arguments

eigenval

A vector of eigenvalues that must sum to the order of the desired correlation matrix. For example: if you want a correlation matrix of order 4, then you need 4 eigenvalues that sum to 4. A warning message will display if sum(eigenval) != length(eigenval)

seed

Either a user supplied seed for the random number generator or `rand' for a function generated seed. Default seed=`rand'.

Author

Jeff Jones

References

Jones, J. A. (2010). GenCorr: An R routine to generate correlation matrices from a user-defined eigenvalue structure. Applied Psychological Measurement, 34, 68-69.

Marsaglia, G., & Olkin, I. (1984). Generating correlation matrices. SIAM J. Sci. and Stat. Comput., 5, 470-475.

Examples

## Example
## Generate a correlation matrix with user-specified eigenvalues
set.seed(123)
R <- genCorr(c(2.5, 1, 1, .3, .2))

print(round(R, 2))

#>       [,1]  [,2]  [,3]  [,4]  [,5]
#> [1,]  1.00  0.08 -0.07 -0.07  0.00
#> [2,]  0.08  1.00  0.00 -0.60  0.53
#> [3,] -0.07  0.00  1.00  0.51 -0.45
#> [4,] -0.07 -0.60  0.51  1.00 -0.75
#> [5,]  0.00  0.53 -0.45 -0.75  1.00

print(eigen(R)$values)

#[1] 2.5 1.0 1.0 0.3 0.2