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PO
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Id
1039867
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0
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2009-06-24T17:45:46.330
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2009-06-24T19:44:00.597
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2009-06-24T19:44:00.597
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128370
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1037340
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2
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text
Body
Woodship, "First of all, are the pseudo-random deviates assumed to be normally distributed?" yes. "Perhaps the issue is the user insists that the resulting random matrix of deviates must have correlations in the specified range." Yes, that's the whole difficulty "You must recognize that a set of random numbers will only have the desired distribution parameters in an asymptotic sense." True, but this is not the problem here: your strategy works for p=2, but fails for p>2, regardless of sample size. "If your desire was that the correlations must ALWAYS be greater than -0.188, then this sampling technique has failed, since the numbers are pseudo-random. In fact, that goal will be a difficult one to achieve unless your sample size is large enough." It is not a sample size issue b/c with p>2 you do not even observe convergence to the right range for the correlations, as sample size growths: i tried the technique you suggest before posting here, it obviously is flawed. "You might employ a simple rejection scheme, whereby you do the sampling, then redo it repeatedly until the sample has the desired properties, with the correlations in the desired ranges. This may get tiring." Not an option, for p large (say larger than 10) this option is intractable. "Compute the correlations. I they fail to lie in the proper ranges, then identify the perturbation one would need to make to the actual (measured) covariance matrix of your data, so that the correlations would be as desired." Ditto As for the QP, i understand the constraints, but i'm not sure about the way you define the objective function; by using the "smallest perturbation" off some initial matrix, you will always end up getting the same (solution) matrix: all the off diagonal entries will be exactly equal to either one of the two bounds (e.g. not pseudo random); plus it is kind of an overkill isn't it ? Come on people, there must be something simpler
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singulars
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1. This table or related slice is empty.
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1. POhow to generate pseudo-random positive definite matrix with constraints on the off-diagonal elements?
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 PTQuestion
PostTypePostTypeId
1. PTAnswer
UserLastEditorUserId
1. USvak
UserOwnerUserId
1. USvak
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