How to generate random covariance matrix

General
1

I want to generate a covariance matrix in R. However, after trying different methods, no one has been successful for obtaining a matrix with the properties I want. rWishart could be a good method, where I can choose the number of degrees of freedom and a scale matrix.

This is a small example of what I am trying:

nvars = 100

K = rWishart(n=1, df=nvars, Sigma=diag(nvars))[,,1]

However, I am not sure how can I have an easy to handle way, based on 1 or 2 parameters, to manage the values of the covariances (higher or lower), as I haven't used this distribution before.

Does anyone know how could I do this?

Thanks in advance for any help!

2

Not sure whether you already seen this or not, but it has nice discussion on this and multiple answers.

2 Likes
3

Thanks for your reply! Very interesting solutions right there

4

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