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Discussion: All Topics in Probability & Statistics
Topic: need help in generating feasible correlation matrices


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Subject:   RE: need help in generating feasible correlation matrices
Author: Giulianino
Date: Jan 6 2005
Dear Sir

Maybe you have already solved this little problem but if not then try:

in MatLab:

R = gallery('randcorr',n) %Where n is the size of the matrix

This will generate a random correlation matrix, which is positive definite.

The random numbers are drawn from a uniform distribution.

The routine is part of the LAPACK suite in my version of MatLab.

Julian Williams

University of Bath
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