Generating random correlation matrices by the simple rejection method: Why it does not work-Reference-Cited by-同舟云学术

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

Published:2014-04 Issue: Volume:87 Page:27-30
ISSN:0167-7152
Container-title:Statistics & Probability Letters
language:en
Short-container-title:Statistics & Probability Letters

Author:

Böhm Walter,Hornik Kurt

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference7 articles.

1. Handbook of Mathematical Functions;Abramowitz,1964

2. The theory of the g-function;Barnes;Quart. J. Pure Appl. Math.,1900

3. On random correlation matrices;Holmes;SIAM J. Matrix Anal. Appl.,1991

4. Generating random correlation matrices based on partial correlations;Joe;J. Multivariate Anal.,2006

5. Generating correlation matrices;Marsaglia;SIAM J. Sci. Stat. Comput.,1984

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1. A Simple and Fast Algorithm for Generating Correlation Matrices with a Known Average Correlation Coefficient;The American Statistician;2024-05-28

2. CM-generator: an approach for generating customized correlation matrices;Communications in Statistics - Simulation and Computation;2023-09-19

3. Identifying dominant industrial sectors in market states of the S&P 500 financial data;Journal of Statistical Mechanics: Theory and Experiment;2023-04-01

4. CM-generator: an approach for generating customized correlation matrices;2022-12-02

5. The shape of partial correlation matrices;Communications in Statistics - Theory and Methods;2020-09-03

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