Hi, I would like to generate a correlation matrix with a particular structure. For example, a 3n x 3n matrix : A_(nxn) aI_(nxn) bI_(nxn) aI_(nxn) A_(nxn) cI_(nxn) aI_(nxn) cI_(nxn) A_(nxn)
where - A_(nxn) is a *specified* symmetric, positive definite nxn matrix. - I_(nxn) is an identity matrix of order n - a, b, c are (any) real numbers Many attempts have been unsuccessful because a resulting matrix with any a, b, c may not be a positive definite one, and hence cannot qualify as a correlation matrix. Trying to first generate a covariance matrix however, does not guarantee a corresponding correlation matrix with the above structure. My larger purpose is to use this correlation matrix to generate multivariate normal observations from the corresponding covariance matrix (derived via cholesky decomposition of the cor matrix). Greatly appreciate any comments, if this is possible or how this can be done. Many grateful thanks and good day, Melinda R-version used : --------------- Windows version R-1.8.1 Running on Windows XP ______________________________________________ [EMAIL PROTECTED] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
