GitHub - jtuitman/correlations: Generate correlation matrices under various constraints.

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blocks.r		blocks.r
blocksvar.r		blocksvar.r
cor.r		cor.r
example_blocks.r		example_blocks.r
example_blocksvar.r		example_blocksvar.r
example_cor.r		example_cor.r
example_var.r		example_var.r
readme.txt		readme.txt
var.r		var.r

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This is code I wrote in 2016 to generate (random) correlation matrices satisfying various constraints.

The underlying algorithms are joint work with Steven Vanduffel and Jing Yao:

https://doi.org/10.1016/j.spl.2020.108868