How to generate random covariance matrix

I want to generate a covariance matrix in R. However, after trying different methods, no one has been successful for obtaining a matrix with the properties I want. rWishart could be a good method, where I can choose the number of degrees of freedom and a scale matrix.

This is a small example of what I am trying:

nvars = 100

K = rWishart(n=1, df=nvars, Sigma=diag(nvars))[,,1] 

However, I am not sure how can I have an easy to handle way, based on 1 or 2 parameters, to manage the values of the covariances (higher or lower), as I haven't used this distribution before.

Does anyone know how could I do this?

Thanks in advance for any help!

Not sure whether you already seen this or not, but it has nice discussion on this and multiple answers.


Thanks for your reply! Very interesting solutions right there

This topic was automatically closed 7 days after the last reply. New replies are no longer allowed.

If you have a query related to it or one of the replies, start a new topic and refer back with a link.