The Annals of Applied Statistics

A method for generating realistic correlation matrices

Johanna Hardin, Stephan Ramon Garcia, and David Golan

Full-text: Open access

Abstract

Simulating sample correlation matrices is important in many areas of statistics. Approaches such as generating Gaussian data and finding their sample correlation matrix or generating random uniform $[-1,1]$ deviates as pairwise correlations both have drawbacks. We develop an algorithm for adding noise, in a highly controlled manner, to general correlation matrices. In many instances, our method yields results which are superior to those obtained by simply simulating Gaussian data. Moreover, we demonstrate how our general algorithm can be tailored to a number of different correlation models. Using our results with a few different applications, we show that simulating correlation matrices can help assess statistical methodology.

Article information

Source
Ann. Appl. Stat., Volume 7, Number 3 (2013), 1733-1762.

Dates
First available in Project Euclid: 3 October 2013

Permanent link to this document
https://projecteuclid.org/euclid.aoas/1380804814

Digital Object Identifier
doi:10.1214/13-AOAS638

Mathematical Reviews number (MathSciNet)
MR3127966

Zentralblatt MATH identifier
06237195

Keywords
Correlation matrix simulating matrices Toeplitz matrix Weyl inequalities eigenvalues

Citation

Hardin, Johanna; Garcia, Stephan Ramon; Golan, David. A method for generating realistic correlation matrices. Ann. Appl. Stat. 7 (2013), no. 3, 1733--1762. doi:10.1214/13-AOAS638. https://projecteuclid.org/euclid.aoas/1380804814


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