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A $k\times k$ matrix of correlations between all pairs of $k$ random variables. All its diagonal elements are equal to one.

6 votes
1 answer
173 views

How to randomly generate a positive semidefinite matrix subject to Loewner constraint?

For real, symmetric, positive semidefinite matrices $A$ and $B$, let $\leq_L$ denote the Loewner partial order: $A \leq_L B$ iff $B-A$ is positive semidefinite. Suppose $A$ and $B$ are fixed PSD matr …
Ronaldo Carpio's user avatar