[…] In a previous article, I implemented an algorithm due to Niels Waller (TAS, 2020) that uses the method of alternating projections (MAP) to generate random correlation matrices that have a specified set of eigenvalues. The algorithm is iterative, and the MAP method is not guaranteed to converge, although Waller claims that the method worked well in a simulation study. MAP and other indirect methods tend to be computationally expensive, so I was happy to discover a paper by Marsaglia and Olkin (1984) that uses a direct method to generate random correlation matrices. The Marsaglia and Olkin algorithm is straightforward to implement in a high-level language like SAS IML. This article presents an IML function that implements the Marsaglia and Olkin direct method for generating a random correlation matrix. …