Description:

RandomCorrMat 0.1.20

Implements several schemes to generate random correlation matrices, including checks to validate a given matrix to be a proper correlation matrix. Algorithms for generating simple random matrix, random matrix with given eigenvalues, random perturbation of a given correlation matrix and the nearest correlation matrix to a given correlation matrix for fine tuned stress and noise are included in the current version. Please check the project homepage for more details and usage examples

License

For personal and professional use. You cannot resell or redistribute these repositories in their original state.

Share

• Share on Facebook
• Share on Twitter