How to generate a symmetric positive definite matrix?

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I have to generate a symmetric positive definite rectangular matrix with random values.

Accepted Answer

Elias Hasle
Elias Hasle on 2 Oct 2019
Edited: Elias Hasle on 2 Oct 2019
What are the requirements to the distributions of the resulting random variables?
I think a crucial insight is that multiplying a matrix with its transpose will give a symmetrical square matrix.

More Answers (1)

madhan ravi
madhan ravi on 17 Oct 2018
Edited: madhan ravi on 17 Oct 2018
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