An efficient algorithm for sampling from sin^k (x) for generating random correlation matrices

Abstract

In this note, we develop a novel algorithm for generating random numbers from a distribution with a probability density function proportional to ${\hspace{0.17em}\text{sin}\hspace{0.17em}}^k(x),x\in (0,\pi )$ and $k\ge 1.$ Our algorithm is highly efficient and is based on rejection sampling where the envelope distribution is an appropriately chosen beta distribution. An example application illustrating how the new algorithm can be used to generate random correlation matrices is discussed.

Keywords:

• Correlation matrix
• Inverse transform sampling
• Rejection sampling

MATHEMATICS SUBJECT CLASSIFICATION:

• 62D05
• 62H20
• 62-04