The generation of pseudo- random correlation matrices

Abstract

This paper examines a method proposed by Bendel and Afifi for generating pseudo-random correlation matrices. An alternative approach is proposed and comparisons with the method of Bendel and Afifi are made. It is shown that there are strong links between the two methods and it is suggested that the proposed method has the advantages of both simplicity and that it is possible to estimate simply the expected value of the coefficient of determination between any pair of regressors.

Keywords:

• Multivariate normal distribution
• correlation matrix
• beta distribution

†W. J. Welch is now with the Department of Mathematics, Imperial College, London.

†W. J. Welch is now with the Department of Mathematics, Imperial College, London.

Notes

†W. J. Welch is now with the Department of Mathematics, Imperial College, London.