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![[parent]](http://images.planetmath.org:8080/images/uparrow.png) Viewing Message
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| ``Help on correlation matrix''
by mathfan on 2003-07-30 21:21:26 |
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| Hi, Friends,
I had a question here. If we want to define a multi-uniform distribution for the correlation matrix(k*k), which should have a pdf, proportional to 1/(area(correlation matrix)). How should we do?
Property of correlation matrix:
Diagonal element=1;
Symmetric;
Non-diagonal element is [-1,1]
Positive definite
Thanks,
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