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.

RIS

@ARTICLE{Böhm2014,
title = {Generating random correlation matrices by the simple rejection method: Why it does not work.},
author = {Walter Böhm and Kurt Hornik},
year = {2014},
doi = {http://dx.doi.org/10.1016/j.spl.2013.12.012},
url = {http://www.sciencedirect.com/science/article/pii/S0167715213004112},
volume = {87},
language = {EN},
pages = {27-30},
journal = {Statistics and Probability Letters},
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.},
}