A method for generating realistic correlation matrices

Annals of Applied Statistics

Volumn 7, Issue 3, 2013, Pages 1733-1762

  Hardin, Johanna ^a   Garcia, Stephan Ramon ^b   Golan, David ^a  

^a POMONA COLLEGE   (United States)

^b TEL AVIV UNIVERSITY   (Israel)

Author keywords

Correlation matrix; Eigenvalues; Simulating matrices; Toeplitz matrix; Weyl inequalities

Indexed keywords

EID: 84885085952     PISSN: 19326157     EISSN: 19417330     Source Type: Journal    
DOI: 10.1214/13-AOAS638     Document Type: Article

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