Hello, I am trying to generate a variance-covariance matrix using the decomposition from Barnard et al 2000 , where the variance-covariance matrix can be written as a product of a diagonal matrix and a correlation matrix. I want to draw the off-diagonal values of the correlation matrix from a (shift…

Ensure correlation matrix is positive semi-definite?

mike-lawrence May 27, 2021, 5:42pm 5

Ha, I was watching this hoping that I could use the resulting solutions myself 😛

@plantbayes maybe take a look at the “pairwise” approach here, and also maybe here.

2 Likes

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