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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.

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Elias Hasle
Elias Hasle il 2 Ott 2019
Modificato: Elias Hasle il 2 Ott 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.

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madhan ravi
madhan ravi il 17 Ott 2018
Modificato: madhan ravi il 17 Ott 2018
  4 Commenti
Bruno Luong
Bruno Luong il 2 Ott 2019
Modificato: Bruno Luong il 2 Ott 2019
Andrei your solution does not produce necessary sdp matrix (which does not meant the matrix elements are positive)

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