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randcorr  

Generate a Random p x p Correlation Matrix
View on CRAN: Click here


Download and install randcorr package within the R console
Install from CRAN:
install.packages("randcorr")

Install from Github:
library("remotes")
install_github("cran/randcorr")

Install by package version:
library("remotes")
install_version("randcorr", "1.0")



Attach the package and use:
library("randcorr")
Maintained by
Daniel F. Schmidt
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2018-11-16
Latest Update: 2018-11-16
Description:
Implements the algorithm by Pourahmadi and Wang (2015) <doi:10.1016/j.spl.2015.06.015> for generating a random p x p correlation matrix. Briefly, the idea is to represent the correlation matrix using Cholesky factorization and p(p-1)/2 hyperspherical coordinates (i.e., angles), sample the angles from a particular distribution and then convert to the standard correlation matrix form. The angles are sampled from a distribution with pdf proportional to sin^k(theta) (0 < theta < pi, k >= 1) using the efficient sampling algorithm described in Enes Makalic and Daniel F. Schmidt (2018) <doi:10.48550/arXiv.1809.05212>.
How to cite:
Daniel F. Schmidt (2018). randcorr: Generate a Random p x p Correlation Matrix. R package version 1.0, https://cran.r-project.org/web/packages/randcorr
Previous versions and publish date:
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Functions, R codes and Examples using the randcorr R package
Some associated functions: randcorr-package . randcorr . randcorr.sample.sink . 
Some associated R codes: randcorr-package.R . randcorr.R .  Full randcorr package functions and examples
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