[R] How to generate a correlation matrix with restrictions on its eigenvalues
Ravi Varadhan
rvaradhan at jhmi.edu
Fri Apr 15 14:14:38 CEST 2011
Generate random numbers from a multinomial.
?rmultinom
# The following will generate n multinomial vectors each of size m
rmultinom(n, size=m, prob=m^(-1/8)) # you need to specify probabilities appropriately
Ravi.
________________________________________
From: r-help-bounces at r-project.org [r-help-bounces at r-project.org] On Behalf Of Chee Chen [chee.chen at yahoo.com]
Sent: Thursday, April 14, 2011 11:55 PM
To: r-help at 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,...,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
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