Corrigendum: Behaviour of the NORTA Method for Correlated Random Vector Generation as the Dimension Increases
نویسنده
چکیده
As part of their analysis of the NORTA method, Ghosh and Henderson [2003] developed an algorithm for generating a random correlation matrix. The derivation of the algorithm is correct up until the discussion of the parameters of the beta distribution on page 288. The parameters α1 and α2 were reported to take the values (k − 1)/2 and (d − k)/2 respectively. The value of α2 is incorrect, and should instead equal (d − k)/2 + 1. The error is repeated in the recap of the generation steps reported on the same page. One should instead sample y from a beta distribution with parameters α1 = (k − 1)/2 and α2 = (d − k)/2 + 1, so that the correct density for y is proportional to
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Behaviour of the NORTA Method for Correlated Random Vector Generation as the Dimension Increases
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