Simulating sample correlation matrices is important in many areas of statistics. Approaches such as generating Gaussian data and finding their sample correlation matrix or generating random uniform ...

Harry Markowitz famously quipped that diversification is the only free lunch in investing. What he did not say is that this is only true if correlations are known and stable over time. Markowitz’s ...

It is well known that the correlation matrix has a central role in the analysis of multivariate data. The inverse of the correlation matrix, however, also has important interpretations. An exposition ...