| To: | "S-News" <s-news@lists.biostat.wustl.edu> |
|---|---|
| Subject: | simulate correlation matrices |
| From: | "Eric Zivot" <ezivot@u.washington.edu> |
| Date: | Mon, 25 Feb 2002 18:02:28 -0800 |
| Importance: | Normal |
I am trying to simulate random 5 x 5 correlation matrices and I am getting negative determinants for some of the correlation matrices. Apparently, my method is not working. Does anyone have a reliable method for generating valid arbitrary correlation matrices? thanks, ez Eric Zivot Associate Professor Department of Economics Box 353330 University of Washington (206) 543-6715 http://faculty.washington.edu/ezivot http://myprofile.cos.com/zivote47 |
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