title: How do I create a desired (large) Covariance/Correlation matrix?
body: <p>I am doing a project which among other things consist of making time series where one of the stochastic parts of the time evolution of multiple series has a specific covariance. The problem is that a lot of my project demands that I have at least a certain amount of control when it comes to how the covariance between the different time series look, and I have figured out no way of (with relative speed) finding covariance matrices at all as soon as the size surpasses ~30.</p>
  
  <p><strong>So to sum up:</strong><br>
  I want to make symmetric matrices with n~50 that have desired numbers in certain places, zero in others and are positive semi-definite (MATLABs cholcov only demands semidefiniteness, fortunately).</p>
  
  <p>I Sincerely hope that someone out there has at least an idea!</p>
  
  <p>//Niffe</p>
  
  <p>PS: I've worked in MATLAB so far, but am open to other languages, and also to solutions  in nothing but math.</p>