CM-generator: an approach for generating customized correlation matrices

Abstract

The simulation of random correlation matrices is an important procedure in different research areas. This study presents a method called Custom Matrix generator, which generates correlation matrices that always fulfill the appropriate mathematical conditions. In addition, we present an algorithm based on this method which can generate customized correlation matrices for different applications used in several studies. The method is efficient in terms of computational time and it minimizes errors in the process of generating customized correlation matrices.