Dear list,
Can anybody give me pointers for the following problem?
I would like to generate random draws from a high (say 25) dimensional
multivariate normal distribution,
where the covariance/correlation matrix should be generated at random as
well. Since the covariance matrix
should be positive definite, a fully random matrix is not appropriate.
Is there any possibility if generating a "random" positive definite
covariance matrix?
Any pointers to relevant literature are welcome.
Thanks for your help.
-Ad Feelders
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Ad Feelders
Universiteit Utrecht
Institute of Information & Computing Sciences
PO Box 80089
3508 TB Utrecht
The Netherlands
ad@cs.uu.nl
Phone: +31 30 2533176
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