[R] Generate normally distributed correlation matrix
Richard Wang
richcmwang at gmail.com
Thu Apr 28 15:37:02 CEST 2011
Hi,
I would like to ask a statistics questions. One way to generate a correlation matrix with normally distributed entries is by generating a matrix A with uniform or normal rows. Then normalize each row to get B. Then B times transpose B is the desired matrix. However, the standard deviation of the entries is not large enough for my purpose. Is there a method to generate a normally distributed correlation matrix with a controlled (larger) standard deviation?
Thanks for any help.
Best,
Richard
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