Generating a valid covariance matrix
Megh corr.matrix() in the 'emulator' package can calculate P-D variance matrices using any of a very broad class of methods. HTH rksh
Megh Dal wrote:
I want to generate a valid variance-covariance matrix. One way could be to generate some random sample from multivariate normal distribution and then calculate cov. matrix. Another way could be to sample from wishart distribution itself. However both cases need a valid i.e. PD covariance matrix. As I need to generate that covariance matrix only, I am not interested those two methods. Can anyone suggest me some other way out? Regards,
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Robin K. S. Hankin Senior Research Associate Cambridge Centre for Climate Change Mitigation Research (4CMR) Department of Land Economy University of Cambridge rksh1 at cam.ac.uk 01223-764877