Corrigendum: Behavior of the NORTA Method for Correlated Random Vector Generation as the Dimension Increases

摘要

As part of their analysis of the NORTA method, Ghosh and Henderson [2003] developed an algorithm for generating a random correlation matrix. The derivation of the algorithm is correct up until the discussion on page 288 of the sampling scheme for the completion vector q. Specifically, in the last step of the sampling scheme where q is set to ∑_(k-1)~(1/2)w, the matrix ∑_(k-1)~(1/2) is not explicitly defined in the text. This corrigendum gives the definition that is consistent with the original description of the algorithm, and also presents an alternate definition that, with a slightly modified step, gives a computationally more efficient sampling scheme.