Chapter 10
Building Correlation and Covariance Matrices
Contents
10.1 Overview of Building Correlation and Covariance Matrices
10.2 Converting between Correlation and Covariance Matrices
10.3 Testing Whether a Matrix Is a Covariance Matrix
10.3.1 Checking Whether a Matrix Is Symmetric
10.3.2 Checking Whether a Matrix Is Positive Semidefinite
10.4 Techniques to Build a Covariance Matrix
10.4.1 Estimate a Covariance Matrix from Data
10.4.2 Generating a Symmetric Matrix
10.4.3 Generating a Diagonally Dominant Covariance Matrix
10.4.4 Generating a Covariance Matrix with a Known Structure
10.5 Generating Matrices from the Wishart Distribution
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