fungible (version 2.4.4)

rMAP: Generate Correlation Matrices with Specified Eigenvalues

Description

rMAP uses the method of alternating projections (MAP) to generate correlation matrices with specified eigenvalues.

Usage

rMAP(eigenval, eps = 1e-12, maxits = 5000, Seed = NULL)

Value

R

A correlation matrix with the desired spectrum.

evals

Eigenvalues of the returned matrix, R.

convergence

(Logical) TRUE if MAP converged to a feasible solution, otherwise FALSE.

Arguments

eigenval

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).

eps

Convergence criterion. Default = 1e-12.

maxits

Maximm number of iterations of MAP.

Seed

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

Author

Niels Waller

References

Waller, N. G. (2016). Generating correlation matrices with specified eigenvalues using the method of alternating projections.

Examples

## 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