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rMAP uses the method of alternating projections (MAP) to generate correlation matrices with specified eigenvalues.
rMAP(eigenval, eps = 1e-12, maxits = 5000, Seed = NULL)A correlation matrix with the desired spectrum.
Eigenvalues of the returned matrix, R.
(Logical) TRUE if MAP converged to a feasible solution, otherwise FALSE.
A vector of eigenvalues that must sum to the order of the desired correlation matrix. A fatal error will occur if sum(eigenval) != length(eigenval).
Convergence criterion. Default = 1e-12.
Maximm number of iterations of MAP.
Either a user supplied seed for the random number generator or `NULL' for a function generated seed. Default Seed = `NULL'.
Niels Waller
Waller, N. G. (2016). Generating correlation matrices with specified eigenvalues using the method of alternating projections.
## Example
## Generate a correlation matrix with user-specified eigenvalues
R <- rMAP(c(2.5, 1, 1, .3, .2), Seed = 123)$R
print(R, 2)
# [,1] [,2] [,3] [,4] [,5]
#[1,] 1.000 0.5355 -0.746 -0.0688 -0.545
#[2,] 0.535 1.0000 -0.671 -0.0016 -0.056
#[3,] -0.746 -0.6711 1.000 0.0608 0.298
#[4,] -0.069 -0.0016 0.061 1.0000 0.002
#[5,] -0.545 -0.0564 0.298 0.0020 1.000
eigen(R)$values
#[1] 2.5 1.0 1.0 0.3 0.2
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