Timeline for Creating a covariance matrix with specified variances and correlations [duplicate]

Current License: CC BY-SA 3.0

7 events

when toggle format	what		by	license	comment
Mar 21, 2018 at 22:19	comment	added	whuber♦		Please see the answers to the duplicate threads.
Mar 21, 2018 at 22:18	history	duplicates list edited	whuber♦		duplicates list edited from Why does correlation matrix need to be positive semi-definite and what does it mean to be or not to be positive semi-definite?, Bounds on correlation to ensure covariance matrix is positive definite, Is every correlation matrix positive semi-definite? to Why does correlation matrix need to be positive semi-definite and what does it mean to be or not to be positive semi-definite?, Bound for the correlation of three random variables, Bounds on correlation to ensure covariance matrix is positive definite, Is every correlation matrix positive semi-definite?
Mar 21, 2018 at 22:18	history	duplicates list edited	whuber♦		duplicates list edited from Why does correlation matrix need to be positive semi-definite and what does it mean to be or not to be positive semi-definite? to Why does correlation matrix need to be positive semi-definite and what does it mean to be or not to be positive semi-definite?, Bounds on correlation to ensure covariance matrix is positive definite, Is every correlation matrix positive semi-definite?
Mar 21, 2018 at 22:17	comment	added	Vivek Subramanian		Thanks, @whuber. Are you referring to the lines where I generate Wishart random variables and then convert the draws into correlation matrices? If so, why is that not an acceptable way to specify correlations?
Mar 21, 2018 at 22:17	history	closed	whuber♦		Duplicate of Why does correlation matrix need to be positive semi-definite and what does it mean to be or not to be positive semi-definite?
Mar 21, 2018 at 22:15	comment	added	whuber♦		It's not PSD because you aren't using a procedure that will always produce valid correlation matrix. You can't specify entries arbitrarily.
Mar 21, 2018 at 22:10	history	asked	Vivek Subramanian	CC BY-SA 3.0