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2004 Dec 12
2
Help : generating correlation matrix with a particular structure
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...
2004 Dec 13
1
Re: Help : generating correlation matrix with a particular
...>
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>
>Siew Leng TENG <siewlengteng at yahoo.com> writes:
>
>> 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
>>
>...