randcorr: Generate a Random p x p Correlation Matrix
Daniel F. Schmidt, Enes Makalic · 2018
Implements the algorithm by Pourahmadi and Wang (2015) for generating a random p x p correlation matrix. Briefly, the idea is to represent the correlation matrix using Cholesky factorization and p(p-1)/2 hyperspherical coordinates (i.e., angles), sample the angles from a particular distribution and then convert to the standard correlation matrix form. The angles are sampled from a distribution with pdf proportional to sin^k(theta) (0 = 1) using the efficient sampling algorithm described in Enes Makalic and Daniel F. Schmidt (2018) .