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A method for generating realistic correlation matrices
method generating realistic correlation matrices
2011/7/6
Simulating sample correlation matrices is important in many areas of statistics. Approaches such as generating normal data and finding their sample correlation matrix or generating random uniform $[-1...
Supersymmetry approach to Wishart correlation matrices: Exact results
Statistics Theory (math.ST) Mathematical Physics (math-ph)
2010/12/17
We calculate the marginal probability density of real and complex Wishart correlation matrices. For deep mathematical reasons, no explicit expression could be obtained for the real case so far. We cir...