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Generating random correlation matrices by the simple rejection method: Why it does not work

Authors
Journal
Statistics & Probability Letters
0167-7152
Publisher
Elsevier
Volume
87
Identifiers
DOI: 10.1016/j.spl.2013.12.012
Keywords
  • Random Correlation Matrix
  • Barnes [Formula Omitted]-Function
  • Asymptotic Approximation

Abstract

Abstract We derive exact and asymptotic formulas for the probability that a symmetric n×n matrix with unit diagonal and upper diagonal elements i.i.d. uniform on (−1,1) is positive definite (and thus a “random correlation matrix”): this is almost never the case for n≥6.

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