[R] Generating a valid covariance matrix
megh700004 at yahoo.com
Fri Sep 26 11:58:24 CEST 2008
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. As I need to generate that covariance matrix only, I am not interested those two methods. Can anyone suggest me some other way out?
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