GenCorr: An R routine to generate correlation matrices from a user-defined eigenvalue structure

Applied Psychological Measurement

Volumn 34, Issue 1, 2010, Pages 68-69

  Jones, J A ^a  

^a UNIVERSITY OF MINNESOTA   (United States)

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[No Author keywords available]

Indexed keywords

EID: 74849126572     PISSN: 01466216     EISSN: 15523497     Source Type: Journal    
DOI: 10.1177/0146621609339727     Document Type: Note

References (5)

1. Davies, P.I., & Higham, N.J. (2000). Numerically stable generation of correlation matrices and their factors. BIT, 40, 640-651.
2. Genz, A. (1992). Numerical computation of multivariate normal probabilities. Journal of Computational and Graphical Statistics, 1, 141-149.
3. Graybill, F.A. (1983). Matrices with applications in statistics (2nd ed.). Belmont, CA: Wadsworth.
4. Marsaglia G., & Olkin I. (1984). Generating correlation matrices. SIAM Journal of Statistical Computation, 5, 470-475.
5. R Development Core Team. (2008). R: A language and environment for statistical computing. Vienna, Austria: R Foundation for Statistical Computing. ISBN 3-900051-07-0. Available from http://www.R-project.org.