Timeline for How to generate a bounded random correlation matrix?
Current License: CC BY-SA 3.0
12 events
| when toggle format | what | by | license | comment | |
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| Nov 19, 2014 at 11:26 | history | edited | amoeba | CC BY-SA 3.0 |
light editing
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| May 12, 2011 at 22:23 | answer | added | ncray | timeline score: 1 | |
| May 7, 2011 at 16:01 | answer | added | bill_080 | timeline score: 0 | |
| May 7, 2011 at 9:56 | comment | added | Richard | @cardinal, sorry for being ignorance. I missed the part of the thread yesterday and did not answer your question. Regard "can't get abitrary negativ correlations", I hope my clarification of previous question answers your question. | |
| May 7, 2011 at 8:14 | history | edited | chl | CC BY-SA 3.0 |
spelling + title
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| May 7, 2011 at 3:25 | comment | added | JMS | @whuber Good, thanks. Might we close this then? It seems "duplicate in intention" as it were and doesn't contain much beyond my foolishness. | |
| May 7, 2011 at 2:19 | comment | added | whuber♦ | @JMS We're starting to get some clarification in new comments to the preceding question linked to by @Cardinal: you might want to check there. | |
| May 7, 2011 at 1:52 | comment | added | JMS | Is the 90/10 requirement "hard"? In lower dimensions you might be able to get close by drawing from a Wishart centered at $I$, computing the correlation matrix, and rejecting samples that aren't within some tolerance. Though I suspect this won't scale well at all... | |
| May 7, 2011 at 1:29 | comment | added | cardinal | Can you define what you mean by "random"? This seems related to your previous question. | |
| May 7, 2011 at 1:23 | comment | added | cardinal | You have to be aware that you can't get arbitrary negative correlations between variables, for one thing. | |
| May 7, 2011 at 0:41 | answer | added | JMS | timeline score: 0 | |
| May 7, 2011 at 0:30 | history | asked | Richard | CC BY-SA 3.0 |