Package: randcorr
Type: Package
Title: Generate a Random p x p Correlation Matrix
Version: 1.0
Date: 2018-11-07
Author: Daniel F. Schmidt [aut, cph, cre],
  Enes Makalic [aut, cph]
Maintainer: Daniel F. Schmidt <daniel.schmidt@monash.edu>
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) <arXiv:1809.05212>.
License: GPL (>= 3)
Authors@R: c(
            person("Daniel F. Schmidt", email="daniel.schmidt@monash.edu", role = c("aut","cph","cre")), 
            person("Enes Makalic", email="emakalic@unimelb.edu.au", role=c("aut","cph"))
           )
RoxygenNote: 6.0.1
NeedsCompilation: no
Packaged: 2018-11-07 00:30:09 UTC; dschmidt
Repository: CRAN
Date/Publication: 2018-11-16 15:30:03 UTC
Built: R 4.6.0; ; 2026-04-25 21:32:04 UTC; unix
