Re: [R] How to generate a correlation matrix with restrictions on its eigenvalues

: 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

Re: [R] How to generate a correlation matrix with restrictions on its eigenvalues

-help-boun...@r-project.org] On Behalf Of Chee Chen [chee.c...@yahoo.com] 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

[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 [[alternative HTML