Publication: Generating Correlation Matrices Based on the Boundaries of Their Coefficients
1
Issued Date
2012-11-12
Resource Type
ISSN
19326203
Other identifier(s)
2-s2.0-84869006223
Rights
Mahidol University
Rights Holder(s)
SCOPUS
Bibliographic Citation
PLoS ONE. Vol.7, No.11 (2012)
Suggested Citation
Kawee Numpacharoen, Amporn Atsawarungruangkit Generating Correlation Matrices Based on the Boundaries of Their Coefficients. PLoS ONE. Vol.7, No.11 (2012). doi:10.1371/journal.pone.0048902 Retrieved from: https://repository.li.mahidol.ac.th/handle/123456789/13371
Research Projects
Organizational Units
Authors
Journal Issue
Thesis
Title
Generating Correlation Matrices Based on the Boundaries of Their Coefficients
Author(s)
Other Contributor(s)
Abstract
Correlation coefficients among multiple variables are commonly described in the form of matrices. Applications of such correlation matrices can be found in many fields, such as finance, engineering, statistics, and medicine. This article proposes an efficient way to sequentially obtain the theoretical bounds of correlation coefficients together with an algorithm to generate n × n correlation matrices using any bounded random variables. Interestingly, the correlation matrices generated by this method using uniform random variables as an example produce more extreme relationships among the variables than other methods, which might be useful for modeling complex biological systems where rare cases are very important. © 2012 Numpacharoen, Atsawarungruangkit.