论文标题
一种生成随机相关矩阵的新方法
A New Method for Generating Random Correlation Matrices
论文作者
论文摘要
我们提出了一种生成随机相关矩阵的新方法，该矩阵使控制位置和分散均可易于控制。该方法基于矢量参数化，伽马= g（c），该方法将r^d，d = n（n-1）/2上的任何分布映射到非singular nxn相关矩阵空间上的分布。与某些属性的相关矩阵（例如具有良好的条件，具有块结构和严格的正元素）很容易生成。我们将新方法与现有方法进行比较。
We propose a new method for generating random correlation matrices that makes it simple to control both location and dispersion. The method is based on a vector parameterization, gamma = g(C), which maps any distribution on R^d, d = n(n-1)/2 to a distribution on the space of non-singular nxn correlation matrices. Correlation matrices with certain properties, such as being well-conditioned, having block structures, and having strictly positive elements, are simple to generate. We compare the new method with existing methods.
