A method for generating realistic correlation matrices
نویسندگان
چکیده
منابع مشابه
A method for generating realistic correlation matrices
Simulating sample correlation matrices is important in many areas of statistics. Approaches such as generating Gaussian data and finding their sample correlation matrix or generating random uniform [−1, 1] deviates as pairwise correlations both have drawbacks. We develop an algorithm for adding noise, in a highly controlled manner, to general correlation matrices. In many instances, our method ...
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ژورنال
عنوان ژورنال: The Annals of Applied Statistics
سال: 2013
ISSN: 1932-6157
DOI: 10.1214/13-aoas638