An R package for simulating correlation matrices possibly constrained by acyclic directed and undirected graphs.
The package is available on CRAN, to get the latest stable version
use:
install.packages("gmat")Alternatively, using the R package devtools one may install the
development version:
# install.packages("devtools")
devtools::install_github("irenecrsn/gmat")The other R packages required for gmat are igraph and gRbase,
which can be installed from CRAN and Bioconductor.
The package mostly implements methods described in the following papers:
- Córdoba I., Varando G., Bielza C., Larrañaga P. A fast Metropolis-Hastings method for generating random correlation matrices. Lecture Notes in Computer Science (IDEAL 2018), vol 11314, pp. 117-124, 2018.
- Córdoba I., Varando G., Bielza C., Larrañaga P. A partial orthogonalization method for simulating covariance and concentration graph matrices. Proceedings of Machine Learning Research (PGM 2018), vol 72, pp. 61-72, 2018.
- Córdoba I., Varando G., Bielza C., Larrañaga P. On generating random Gaussian graphical models. International Journal of Approximate Reasoning, vol 125, pp. 240-250, 2020.
See examples of use and more at package's manual.