An efficient algorithm for sampling from sink (x) for generating random correlation matrices

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Abstract

In this note, we develop a novel algorithm for generating random numbers from a distribution with a probability density function proportional to (Formula presented.) and (Formula presented.) Our algorithm is highly efficient and is based on rejection sampling where the envelope distribution is an appropriately chosen beta distribution. An example application illustrating how the new algorithm can be used to generate random correlation matrices is discussed.

Original languageEnglish
Pages (from-to)2731-2735
Number of pages5
JournalCommunications in Statistics - Simulation and Computation
Volume51
Issue number5
DOIs
Publication statusPublished - 2022

Keywords

  • Correlation matrix
  • Inverse transform sampling
  • Rejection sampling

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