I want to do some testing of a program but I would like to have a really big matrix
Is there any tool that can generate an artificial correlation matrix?
I want to do some testing of a program but I would like to
Share
Sign Up to our social questions and Answers Engine to ask questions, answer people’s questions, and connect with other people.
Login to our social questions & Answers Engine to ask questions answer people’s questions & connect with other people.
Lost your password? Please enter your email address. You will receive a link and will create a new password via email.
Please briefly explain why you feel this question should be reported.
Please briefly explain why you feel this answer should be reported.
Please briefly explain why you feel this user should be reported.
I want to do some testing of a program but I would like to have a really big matrix
Is there any tool that can generate an artificial correlation matrix?
Pick
nrandomn-dimensional vectors of numbers from -1 to 1. Use the dot product of any 2 vectors is their correlation. Use that fact to make a randomnxncorrelation matrix.Is this really a correlation matrix? Make each dimension into an independent standard normal distribution. The coefficients of each vector then describes a random variable. Those random variables have the specified correlations. So yes, this is actually going to be a correlation matrix.