[scikit-learn] make_spd_matrix documentation

[Sina Mansour L.]

Hi,

I was trying to use the random positive definite matrix generator
implemented in sklearn (
https://scikit-learn.org/stable/modules/generated/sklearn.datasets.make_spd_matrix.html).
However, I noticed the documentation is very minimal, without any
references on related research articles. I'm wondering if it generates a
uniformly random covariance matrix to be used as a sampling method to
generate a null distribution for covariances. I tried looking at the source
code. But I didn't find any reasons or explanations explaining the method.

In other words, I wanted to know if the random symmetric positive definite
matrix returned is uniformly sampled from the space of all positive
definite matrices or not.

This is the idea I was interested in when I came across make_spd_matrix:

http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.594.3009&rep=rep1&type=pdf


Kind regards,
Sina
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