| genCorr {fungible} | R Documentation |
Generate Correlation Matrices with User-Defined Eigenvalues
Description
Uses the Marsaglia and Olkin (1984) algorithm to generate correlation matrices with user-defined eigenvalues.
Usage
genCorr(eigenval, seed = "rand")
Arguments
eigenval |
A vector of eigenvalues that must sum to the order of the desired correlation matrix. For example: if you want a correlation matrix of order 4, then you need 4 eigenvalues that sum to 4. A warning message will display if sum(eigenval) != length(eigenval) |
seed |
Either a user supplied seed for the random number generator or ‘rand’ for a function generated seed. Default seed=‘rand’. |
Value
Returns a correlation matrix with the eigen-stucture specified by eigenval.
Author(s)
Jeff Jones
References
Jones, J. A. (2010). GenCorr: An R routine to generate correlation matrices from a user-defined eigenvalue structure. Applied Psychological Measurement, 34, 68-69.
Marsaglia, G., & Olkin, I. (1984). Generating correlation matrices. SIAM J. Sci. and Stat. Comput., 5, 470-475.
Examples
## Example
## Generate a correlation matrix with user-specified eigenvalues
set.seed(123)
R <- genCorr(c(2.5, 1, 1, .3, .2))
print(round(R, 2))
#> [,1] [,2] [,3] [,4] [,5]
#> [1,] 1.00 0.08 -0.07 -0.07 0.00
#> [2,] 0.08 1.00 0.00 -0.60 0.53
#> [3,] -0.07 0.00 1.00 0.51 -0.45
#> [4,] -0.07 -0.60 0.51 1.00 -0.75
#> [5,] 0.00 0.53 -0.45 -0.75 1.00
print(eigen(R)$values)
#[1] 2.5 1.0 1.0 0.3 0.2