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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
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Hi,
Can anyone tell me how to generate feasible correlation matrices, i.e. real,
symmetric, positive semi-definite 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
semi-definite 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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