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st: RE: Drawing a (positive-definite) correlation matrix


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Drawing a (positive-definite) correlation matrix
Date   Mon, 15 May 2006 15:16:31 +0100

If all you care about is the average 
correlation, then given that all the 
correlations along the principal 
diagonal must be 1, all the others 
could be just that average multiplied
by whatever constant yields the right
answer. 

If not, you need a more precise specification. 

Nick 
n.j.cox@durham.ac.uk 

Daniel Hoechle
 
> I would like to perform a Monte Carlo simulation with correlated,
> normally distributed data. It seems to be tempting to use Stata's
> -drawnorm- command. However, this is not possible because I do not yet
> have a correlation matrix. Does anyone know how to generate a positive
> (semi-) definite random correlation matrix with average correlation
> avg_corr=x in Stata?
> 
> Or are there other ways to produce multivariate normal random numbers
> with average correlation between the subjects/variables equal to x
> (x!=0)?

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