A parameterization of positive definite matrices in terms of partial correlation vines (Q1410721): Difference between revisions
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Revision as of 11:50, 6 June 2024
scientific article
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English | A parameterization of positive definite matrices in terms of partial correlation vines |
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A parameterization of positive definite matrices in terms of partial correlation vines (English)
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15 October 2003
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This paper extends a method of the authors for studying positive definiteness by interpreting a symmetric matrix as a potential correlation matrix, and using their theory of partial correlations with a new theory called vines. Vines are sequences of trees such that the nodes of each tree are the edges of the previous tree; their edges are associated with partial correlations. Positive definiteness can be determined by computing partial correlations on a regular vine and seeing if they are in \((-1,1)\). This also provides a method of adjusting non-positive definite matrices so that they become positive definite.
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correlation
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tree dependence
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positive definite matrix
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matrix completion
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vine
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partial correlation
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