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Generating correlation matrices based on the boundaries of their coefficients.

version 1.4.0.0 (1.83 KB) by Kawee Numpacharoen
Correlation can be generated using uniform random variable distribution within the boundaries.

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Updated 02 Oct 2012

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We also demonstrated a technique for generating correlation matrices using uniform random variable distribution within the boundaries of each correlation coefficient. The theoretical bounds are sequentially computed.
Kawee Numpacharoen

Numpacharoen, Kawee and Atsawarungruangkit, Amporn, Generating correlation matrices based on the boundaries of their coefficients (September 20, 2012). Available at SSRN: http://ssrn.com/abstract=2127689

Cite As

Kawee Numpacharoen (2021). Generating correlation matrices based on the boundaries of their coefficients. (https://www.mathworks.com/matlabcentral/fileexchange/37804-generating-correlation-matrices-based-on-the-boundaries-of-their-coefficients), MATLAB Central File Exchange. Retrieved .

Comments and Ratings (4)

George A.

Sander

the following command seems superior to this file
gallery('randcorr',n)
(help private/randcorr)

Sander

An important restriction is that the nondiagonal elements of the inverse correlation matrix are zero, except for one column and row.

Sander

What is the meaning of the input K? Does it somehow affect the minimal eigenvalue p? (I cannot download the paper in SSRN.)

MATLAB Release Compatibility
Created with R2009a
Compatible with any release
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