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This function samples a correlation matrix by sampling a covariance matrix from an inverse Wishart distribution and transforming it to a correlation matrix.

Usage

sample_correlation_matrix(dim, df = dim, scale = diag(dim))

Arguments

dim

[integer(1)]
The dimension.

df

[integer(1)]
The degrees of freedom of the inverse Wishart distribution greater or equal dim.

scale

[matrix()]
The scale covariance matrix of the inverse Wishart distribution of dimension dim.

Value

A correlation matrix.

Examples

sample_correlation_matrix(dim = 3)
#>            [,1]       [,2]       [,3]
#> [1,]  1.0000000 -0.7958147 -0.9188914
#> [2,] -0.7958147  1.0000000  0.8315981
#> [3,] -0.9188914  0.8315981  1.0000000