generate_matrices.R

# randomly generate a correlation matrix (R)
my_lkj_corr_rng(K = 2, eta = 1.4)
#           [,1]       [,2]
#[1,]  1.0000000 -0.8743114
#[2,] -0.8743114  1.0000000

# randomly generate a Cholesky factor (L)
(L_chol = my_lkj_corr_chol_rng(K = 2, eta = 1.4))
#           [,1]     [,2]
#[1,] 1.00000000 0.000000
#[2,] 0.09454103 0.995521

# triangular matrix multiplication (L*L^T)
# L_chol %*% t(L_chol)
my_multiply_lower_tri_self_transpose(L_chol)
#           [,1]       [,2]
#[1,] 1.00000000 0.09454103
#[2,] 0.09454103 1.00000000