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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Status of publication | Published |
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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 |
Associations
- People
- Böhm, Walter (Details)
- Hornik, Kurt (Details)
- Organization
- Institute for Statistics and Mathematics IN (Details)