In a previous post I showed how to implement Stewart's (1980) algorithm for generating random orthogonal matrices in SAS/IML software. By using the algorithm, it is easy to generate a random matrix that contains a specified set of eigenvalues. If D = diag(λ1, ..., λp) is a diagonal matrix and
“When I started using predictive analytics in 1991, I had a desktop computer with a 600 megabyte hard drive running SAS® 5.0 something,” said Olivia Rud, respected business intelligence thought leader and author of Data Mining Cookbook: Modeling Data for Marketing, Risk and Customer Relationship Management. Technology has vastly improved
Because I am writing a new book about simulating data in SAS, I have been doing a lot of reading and research about how to simulate various quantities. Random integers? Check! Random univariate samples? Check! Random multivariate samples? Check! Recently I've been researching how to generate random matrices. I've blogged
