Random correlation matrix
Generates a random correlation matrix with the method of Marsaglia and Olkin (1984).
rcorr(d)
d |
an integer > 0, the order of the correlation matrix. |
The algorithm uses rsphere to generate d
vectors on a sphere in d-space. If Z
is a matrix with such vectors as rows, then the random
correlation matrix is ZZ'.
a correlation matrix of order d.
Giovanni M. Marchetti
Marshall, G.\& Olkin, I. (1984).Generating correlation matrices. SIAM J. Sci. Stat. Comput., 5, 2, 470–475.
## A random correlation matrix of order 3 rcorr(3) ## A random correlation matrix of order 5 rcorr(5)
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