R: Random correlation matrix

rcorr {ggm} | R Documentation

## Random correlation matrix

### Description

Generates a random correlation matrix with the method of Marsaglia and Olkin (1984).

### Usage

    rcorr(d)

### Arguments

`d` | an integer > 0, the order of the correlation matrix.

### Details

The algorithm uses `rsphere` to generate d vectors on a sphere in d-space. If Z is a matrix with such vectors as rows, then the random correlation matrix is ZZ'.

### Value

a correlation matrix of order `d`.

### Author(s)

Giovanni M. Marchetti

### References

Marshall, G.\& Olkin, I. (1984).Generating correlation matrices. SIAM J. Sci. Stat. Comput., 5, 2, 470–475.

### See Also

`rsphere`

### Examples

    ## A random correlation matrix of order 3
    rcorr(3)
    ## A random correlation matrix of order 5
    rcorr(5)

[Package ggm version 2.3 Index]