Hi, Ravi,
Thank you, but I did not get it!
I tried hard by specifying the vector of probabilities, but it always gives
zeros and all integers as eigenvalues.
The eigenvalues need to be not just integers and they should satisfy order
requirement.
Any more suggestions?
Regards,
-Chee
From: Ravi Varadhan
Sent: Friday, April 15, 2011 8:14 AM
To: Chee Chen ; r-help@r-project.org
Subject: RE: [R] How to generate a correlation matrix with restrictions on its
eigenvalues
Generate random numbers from a multinomial.
?rmultinom
# The following will generate n multinomial vectors each of size m
rmultinom(n, size=m, prob=m^(-1/8)) # you need to specify probabilities
appropriately
Ravi.
________________________________________
From: r-help-boun...@r-project.org [r-help-boun...@r-project.org] On Behalf
Sent: Thursday, April 14, 2011 11:55 PM
To: r-help@r-project.org
Subject: [R] How to generate a correlation matrix with restrictions on its
eigenvalues
Dear All,
I would like to generate m positive real numbers c_i, I=1,...,m, such that
(1) c_1 + c_2 + ... + c_m=m,
(1) after being ordered into c_1 >= c_2 >= .... >=c_m>0, we have that c_m is
of the same order of m^(-1/8), when m is sufficiently large.
Thanks,
-Chee
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