TY - JOUR
TI - Generating random correlation matrices by the simple rejection method: Why it does not work.
AB - 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.
DO - http://dx.doi.org/10.1016/j.spl.2013.12.012
SP - 27
EP - 30
UR - http://www.sciencedirect.com/science/article/pii/S0167715213004112
PY - 2014-01-01
JO - Statistics and Probability Letters
AU - Böhm, Walter
AU - Hornik, Kurt
ER -