Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1154757 | Statistics & Probability Letters | 2014 | 4 Pages |
Abstract
We derive exact and asymptotic formulas for the probability that a symmetric n×nn×n matrix with unit diagonal and upper diagonal elements i.i.d. uniform on (−1,1)(−1,1) is positive definite (and thus a “random correlation matrix”): this is almost never the case for n≥6n≥6.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Walter Böhm, Kurt Hornik,