A direct method to generate correlation matrices with specified eigenvalues

In a previous article, I implemented an algorithm due to Niels Waller (TAS, 2020) that uses the method of alternating projections (MAP) to generate random correlation matrices that have a specified set of eigenvalues. The algorithm is iterative, and the MAP method is not guaranteed to converge, although Waller claims […] The post A direct method to generate correlation matrices with specified eigenvalues appeared first on SAS Blogs .