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Algorithms to simulate random correlation matrices

Project description

Implements several schemes to generate random correlation matrices, including checks to validate a given matrix to be a proper correlation matrix. Algorithms for generating simple random matrix, random matrix with given eigenvalues, random perturbation of a given correlation matrix and the nearest correlation matrix to a given correlation matrix for fine tuned stress and noise are included in the current version. Please check the project homepage for more details and usage examples

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Files for RandomCorrMat, version 0.1.20
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