Struct CorrelationMatrixGenerator 

pub struct CorrelationMatrixGenerator;

Generates random correlation matrices using the vine method.

A correlation matrix is symmetric positive semi-definite with ones on the diagonal and off-diagonal entries in [-1, 1]. The vine method generates partial correlations uniformly and constructs a valid correlation matrix.

Implementations

impl CorrelationMatrixGenerator

pub fn generate(dim: usize, seed: u64) -> RandResult<RandomMatrix>

Generates a random dim x dim correlation matrix.

Arguments

• dim - Dimension of the square correlation matrix
• seed - Random seed

Errors

Returns RandError::InvalidSize if dim == 0.