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 
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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