Abstract
The problem of building a covariance matrix by fixing their diagonal values (variances) and all or a subset of
its eigenvalues has been solved in different ways in the literature. In this paper we propose an iterative heuristic
method to build such covariance matrix when a subset of its covariances is also chosen from the user.
This provides a more flexible approach than those available in the literature for designing covariance matrices
with the desired structure. As in other related approaches, the proposal can be useful for testing the performance
of chemometric methods with data sets matching the theoretical conditions for their applicability
or checking their robustness when the hypothesized properties fail.
