So, you want about 10% of the correlations to be greater than 0.9. And
what about the others? It would be helpful to know why you need this
kind of matrix and what you are going to do with it.
Here is an attempt, based on generating a random variance matrix from
a Wishart distribution and transf
produce a valid correlation matrix is:
> > >
> > > R <- matrix(runif(36), ncol=6)
> > >
> > > RtR <- R %*% t(R)
> > >
> > > Q <- cov2cor(RtR)
> > >
> > > But this does not have the property that the correlations are
> > unif
email: rvarad...@jhmi.edu
- Original Message -
From: Kingsford Jones
Date: Saturday, August 29, 2009 7:43 pm
Subject: Re: [R] how to generate a random correlation matrix with restrictions
To: Ravi Varadhan
Cc: Ning Ma , r-help@r-project.org
> Thanks Ravi -- with my limited linear
ations are uniformly
> distributed.
>
> Hope this helps,
> Ravi.
>
>
>
> Ravi Varadhan, Ph.D.
> Assistant Professor,
> Division of Geriatric Medicine and Gerontology
> School of Medicine
> Johns Hopki
edicine and Gerontology
School of Medicine
Johns Hopkins University
Ph. (410) 502-2619
email: rvarad...@jhmi.edu
- Original Message -
From: Kingsford Jones
Date: Friday, August 28, 2009 10:12 pm
Subject: Re: [R] how to generate a random correlation matrix with
restrictions
To: Ning Ma
Cc:
Ahh -- Mark Leeds just pointed out off-list that it was supposed to be
a correlation matrix.
Perhaps
R <- matrix(runif(1), ncol=100)
R <- (R * lower.tri(R)) + t(R * lower.tri(R))
diag(R) <- 1
These are of course uniformly distributed positive correlations.
Kingsford
On Fri, Aug 28, 2009 a
R <- matrix(runif(1), ncol=100)
hth,
Kingsford Jones
On Fri, Aug 28, 2009 at 7:26 PM, Ning Ma wrote:
> Hi,
>
> How can I generate a random 100x100 correlation matrix, R={r_ij},
> where about 10% of r_ij are greater than 0.9
>
> Thanks in advance.
>
>
Hi,
How can I generate a random 100x100 correlation matrix, R={r_ij},
where about 10% of r_ij are greater than 0.9
Thanks in advance.
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