The generation of pseudo- random correlation matrices

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The generation of pseudo- random correlation matrices

TitleThe generation of pseudo- random correlation matrices
Publication TypeJournal Article
Year of Publication1980
AuthorsJohnson, DG, Welcht, WJ
JournalJournal of Statistical Computation and Simulation
Volume11
Pagination55-69
AbstractThis paper examines a method proposed by Bendel and Afifi for generating pseudo-random correlation matrices. An alternative approach is proposed and comparisons with the method of Bendel and Afifi are made. It is shown that there are strong links between the two methods and it is suggested that the proposed method has the advantages of both simplicity and that it is possible to estimate simply the expected value of the coefficient of determination between any pair of regressors.
URLhttp://dx.doi.org/10.1080/00949658008810389
DOI10.1080/00949658008810389