Quotation Böhm, Walter, Hornik, Kurt. 2014. Generating random correlation matrices by the simple rejection method: Why it does not work. Statistics and Probability Letters, 87, 27-30.


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Abstract

We derive exact and asymptotic formulas for the probability that a symmetric n×n matrix with unit diagonal and upper diagonal elements i.i.d. uniform on (−1,1) is positive definite (and thus a “random correlation matrix”): this is almost never the case for n≥6.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Statistics and Probability Letters
Citation Index SCI
Language English
Title Generating random correlation matrices by the simple rejection method: Why it does not work.
Volume 87
Year 2014
Page from 27
Page to 30
URL http://www.sciencedirect.com/science/article/pii/S0167715213004112
DOI http://dx.doi.org/10.1016/j.spl.2013.12.012
Open Access N

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Böhm, Walter (Details)
Hornik, Kurt (Details)
Organization
Institute for Statistics and Mathematics IN (Details)
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