cvine {mpower}

Citation: Daniel Lewandowski, Dorota Kurowicka, Harry Joe, Generating random correlation matrices based on vines and extended onion method, Journal of Multivariate Analysis, Volume 100, Issue 9, 2009, Pages 1989-2001, ISSN 0047-259X, https://doi.org/10.1016/j.jmva.2009.04.008.

Description

Citation: Daniel Lewandowski, Dorota Kurowicka, Harry Joe, Generating random correlation matrices based on vines and extended onion method, Journal of Multivariate Analysis, Volume 100, Issue 9, 2009, Pages 1989-2001, ISSN 0047-259X, https://doi.org/10.1016/j.jmva.2009.04.008.

Usage

cvine(d, alpha = 10, beta = 10, S = NULL, m = 100)

Arguments

d

Number of dimension

alpha

Parameter for Beta distribution

beta

Parameter for Beta distribution

S

A 'guess' of the correlation matrix

m

A number that indicates how much the random matrices vary from S

Value

A random positive-definite correlation matrix