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Generating random correlation matrices based on partial correlations

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  • Joe, Harry

Abstract

A d-dimensional positive definite correlation matrix R=([rho]ij) can be parametrized in terms of the correlations [rho]i,i+1 for i=1,...,d-1, and the partial correlations [rho]iji+1,...j-1 for j-i[greater-or-equal, slanted]2. These parameters can independently take values in the interval (-1,1). Hence we can generate a random positive definite correlation matrix by choosing independent distributions Fij, 1[less-than-or-equals, slant]i

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  • Joe, Harry, 2006. "Generating random correlation matrices based on partial correlations," Journal of Multivariate Analysis, Elsevier, vol. 97(10), pages 2177-2189, November.
    • Handle: RePEc:eee:jmvana:v:97:y:2006:i:10:p:2177-2189
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    References listed on IDEAS

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    1. Joe, Harry, 2005. "Asymptotic efficiency of the two-stage estimation method for copula-based models," Journal of Multivariate Analysis, Elsevier, vol. 94(2), pages 401-419, June.
    2. Shang P. Lin & Robert B. Bendel, 1985. "Generation of Population Correlation Matrices with Specified Eigenvalues," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 34(2), pages 193-198, June.
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