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
[email protected]
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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