[R] Generate normally distributed correlation matrix

From: Richard Wang <richcmwang_at_gmail.com>
Date: Thu, 28 Apr 2011 14:37:02 +0100


I would like to ask a statistics questions. One way to generate a correlation matrix with normally distributed entries is by generating a matrix A with uniform or normal rows. Then normalize each row to get B. Then B times transpose B is the desired matrix. However, the standard deviation of the entries is not large enough for my purpose. Is there a method to generate a normally distributed correlation matrix with a controlled (larger) standard deviation?

Thanks for any help.


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