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Generating random correlation matrices based on partial correlations

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Author Info
Joe, Harry
Abstract

A d-dimensional positive definite correlation matrix R=([rho]ij) can be parametrized in terms of the correlations [rho]i,i+1 for i=1,...,d-1, and the partial correlations [rho]iji+1,...j-1 for j-i[greater-or-equal, slanted]2. These parameters can independently take values in the interval (-1,1). Hence we can generate a random positive definite correlation matrix by choosing independent distributions Fij, 1[less-than-or-equals, slant]i
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Publisher Info
Article provided by Elsevier in its journal Journal of Multivariate Analysis.

Volume (Year): 97 (2006)
Issue (Month): 10 (November)
Pages: 2177-2189
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Handle: RePEc:eee:jmvana:v:97:y:2006:i:10:p:2177-2189

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Keywords: Beta distribution Determinant of correlation matrix;

Cited by:
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  1. Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2008. "Control of the False Discovery Rate under Dependence using the Bootstrap and Subsampling," IEW - Working Papers iewwp337, Institute for Empirical Research in Economics - IEW. [Downloadable!]
  2. Christopher J. Bennett, 2009. "p-Value Adjustments for Asymptotic Control of the Generalized Familywise Error Rate," Working Papers 0905, Department of Economics, Vanderbilt University. [Downloadable!]
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This page was last updated on 2009-12-3.

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