Generating random correlation matrices by the simple rejection method: Why it does not work

We derive exact and asymptotic formulas for the probability that a symmetric n×n matrix with unit diagonal and upper diagonal elements i.i.d. uniform on (−1,1) is positive definite (and thus a “random correlation matrix”): this is almost never the case for n≥6.

MoreLess

Year of publication:	2014
Authors:	Böhm, Walter ; Hornik, Kurt
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 87.2014, C, p. 27-30
Publisher:	Elsevier
Subject:	Random correlation matrix \| Barnes G-function \| Asymptotic approximation

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011039789