[R] Generating a valid covariance matrix

Robin Hankin rksh1 at cam.ac.uk
Fri Sep 26 12:09:37 CEST 2008


corr.matrix() in the 'emulator' package can calculate
P-D variance matrices using any of a  very broad
class of methods.



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 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?
> Regards,
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Robin K. S. Hankin
Senior Research Associate
Cambridge Centre for Climate Change Mitigation Research (4CMR)
Department of Land Economy
University of Cambridge
rksh1 at cam.ac.uk

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