Re: [R] Generating a valid covariance matrix

ECTED] Subject: Re: [R] Generating a valid covariance matrix Megh corr.matrix() in the 'emulator' package can calculate P-D variance matrices using any of a very broad class of methods. HTH rksh Megh Dal wrote: > I want to generate a valid variance-covariance matrix. One way co

Re: [R] Generating a valid covariance matrix

Megh corr.matrix() in the 'emulator' package can calculate P-D variance matrices using any of a very broad class of methods. HTH rksh Megh Dal wrote: I want to generate a valid variance-covariance matrix. One way could be to generate some random sample from multivariate normal distribution

[R] Generating a valid covariance matrix

I want to generate a valid variance-covariance matrix. One way could be to generate some random sample from multivariate normal distribution and then calculate cov. matrix. Another way could be to sample from wishart distribution itself. However both cases need a valid i.e. PD covariance matrix.