Generating correlation matrices based on the boundaries of their coefficients.
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
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Kawee Numpacharoen (2024). 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 .
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- Signal Processing > Signal Processing Toolbox > Transforms, Correlation, and Modeling > Correlation and Convolution >
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