Figure Properties - SERC

gallery
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k = 0 diag(x) is initially subjected to a random two-sided orthogonal
transformation, and then a sequence of Givens rotations is applied
(default).
k = 1 The initial transformation is omitted. This is much faster, but the
resulting matrix may have zero entries.
For more information, see:
[1] Davies, P. I. and N. J. Higham, “Numerically Stable Generation of
Correlation Matrices and Their Factors,” BIT, Vol. 40, 2000, pp. 640-651.
randcorr — Random correlation matrix with specified eigenvalues
gallery('randcorr',n) is a random n-by-n correlation matrix with random
eigenvalues from a uniform distribution. A correlation matrix is a symmetric
positive semidefinite matrix with 1s on the diagonal (see corrcoef).
gallery('randcorr',x) produces a random correlation matrix having
eigenvalues given by the vector x, where length(x) > 1. The vector x must
have nonnegative elements summing to length(x).
gallery('randcorr',x,k) provides a further option:
k = 0 The diagonal matrix of eigenvalues is initially subjected to a
random orthogonal similarity transformation, and then a
sequence of Givens rotations is applied (default).
k = 1 The initial transformation is omitted. This is much faster, but the
resulting matrix may have some zero entries.
For more information, see:
[1] Bendel, R. B. and M. R. Mickey, “Population Correlation Matrices for
Sampling Experiments,” Commun. Statist. Simulation Comput., B7, 1978,
pp. 163-182.
[2] Davies, P. I. and N. J. Higham, “Numerically Stable Generation of
Correlation Matrices and Their Factors,” BIT, Vol. 40, 2000, pp. 640-651.