Abstract We develop an algorithm that makes it possible to generate all correlation matrices satisfying a constraint on their average value. We extend the results to the case of multiple constraints. These results can be used to assess the extent to which methodologies driven by correlation matrices are robust to misspecification thereof.

中文翻译：

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具有平均约束的相关矩阵

摘要 我们开发了一种算法，可以生成满足其平均值约束的所有相关矩阵。我们将结果扩展到多个约束的情况。这些结果可用于评估相关矩阵驱动的方法对其错误指定的稳健程度。