SIAM Journal on Scientific and Statistical Computing · 1984 · 115 citations · 6 references
Natural SciencesComputer ScienceMathematicsProbability TheoryStatistical ModelingStatisticsComputational StatisticsMatrix ComputationMatrix StructureMonte Carlo MethodsProbability DistributionsSimulation MethodsCorrelation MatrixCorrelation Matrix ModelingRandom MatricesRandom Matrix DistributionsRandom Matrix Theory
This paper describes a variety of methods for generating random correlation matrices, with emphasis on choice of random variables and distributions so as to provide matrices with given structure, expected values or eigenvalues.
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Choosing a Point from the Surface of a Sphere
George Marsaglia · The Annals of Mathematical Statistics · 1972 · 689 citations · Full text