How to generate random positive semi-definite matrix with ones at the diagonal positions?
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Abhiram Bhanuprakash 2015년 5월 26일
Hi Mr. M,
I went through the code in the File Exchange submission 'RandomCorr.m' which you mentioned.
I could see that, in line 62 of that code,
So I guess this is to check whether the minimum eigen value of the correlation matrix is >= 0 (in other words, to check if the correlation matrix 'C' is PSD or not)
But, I am not sure about the variable 'K'. Perhaps if you refer to the paper or contact the author of the File Exchange submission himself, you would get a better answer.
See a related post here
Hope this helps,