Discussion:  All Topics in Probability & Statistics 
Topic:  need help in generating feasible correlation matrices 
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Subject:  need help in generating feasible correlation matrices 
Author:  Huijing Chen 
Date:  Jan 15 2004 
Hi,
Can anyone tell me how to generate feasible correlation matrices, i.e. real,
symmetric, positive semidefinite matrices? Currently I generate a symmetric
matrix randomly, then use Householder tranformation to tridiagonalise the
matrix, then use QR algorithm to calculate eigenvalues. If any of the
eigenvalue is negative, then the whole process is repeated until a positive
semidefinite matrix is found. For a 5 by 5 matrix, it ran on my computer for
15 hours and didn't come up with a feasible matrix! I suspect it is not a very
efficient way. Can anyone tell me if there are any other algorithms or methods?
Thanks.
 
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