randcorr
This function implements the algorithm by Pourahmadi and Wang [1] for generating a random p x p correlation matrix. Briefly, the idea is to represent the correlation matrix using Cholesky factorization and p(p-1)/2 hyperspherical coordinates (i.e., angles), sample the angles form a particular distribution and then convert to the standard correlation matrix form. The angles are sampled from a distribution with probability density function sin^k(theta) (0 < theta < pi, k >= 1) using the efficient sampling algorithm described in [2].
References:
[1] Mohsen Pourahmadi and Xiao Wang, Distribution of random correlation matrices: Hyperspherical parameterization of the Cholesky factor, Statistics & Probability Letters, Volume 106, November 2015, Pages 5-12
[2] Enes Makalic and Daniel F. Schmidt, An efficient algorithm for sampling from $\sin^k(x)$ for generating random correlation matrices, arxiv, 2018
Citation pour cette source
Statovic (2024). randcorr (https://www.mathworks.com/matlabcentral/fileexchange/68810-randcorr), MATLAB Central File Exchange. Récupéré le .
Compatibilité avec les versions de MATLAB
Plateformes compatibles
Windows macOS LinuxCatégories
Tags
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!Découvrir Live Editor
Créez des scripts avec du code, des résultats et du texte formaté dans un même document exécutable.
Version | Publié le | Notes de version | |
---|---|---|---|
1.1.1 | -added code to ensure that all diagonal entries are set to 1 |
||
1.1.0 | -Code is now vectorised and is approximately 10x faster than the previous (non-vectorised) version. |
||
1.0.0 |