I am trying to make a random matrix correlation over 183 variables to calculate a Cholesky decomposition and correlate 183 random normals. For the creation of the correlation matrix the following reproducible code is the one I am using:
First I set the seed
set.seed(2)
Then I generate random numbers between 0.6 and 0.8
corr <- matrix(runif(183*183, min = 0.6, max = 0.8), 183, 183)
The next step is turning the diagonal into ones
for (i in 1:183) {
for (j in 1:183) {
if (i == j) {
corr[i,j] <- 1
}
}
}
Last step is making it symmetric
for (i in 1:183) {
for (j in 1:183) {
if (i < j) {
corr[i,j] <- corr[j,i]
}
}
}
The problem I run into arise when I try to make the cholesky decomposition
cholesky <- chol(corr)
I get the following error:
Error in chol.default(corr) : the leading minor of order 14 is not positive definite
How could I make my correlation matrix semi definite positive?
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