A new method for generating random correlation matrices
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Cites work
- A New Parametrization of Correlation Matrices
- Characterizing correlation matrices that admit a clustered factor representation
- Correlation matrices with average constraints
- Covariance estimation: the GLM and regularization perspectives
- Discrimination among some parametric models
- Distribution of random correlation matrices: hyperspherical parameterization of the Cholesky factor
- Dynamic Equicorrelation
- Dynamic factor copula models with estimated cluster assignments
- Generating Correlation Matrices
- Generating random correlation matrices based on partial correlations
- Generating random correlation matrices based on vines and extended onion method
- Generation of correlation matrices with a given eigen–structure
- High dimensional dynamic stochastic copula models
- scientific article; zbMATH DE number 3153624 (Why is no real title available?)
- Julia: a fresh approach to numerical computing
- Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models
- Numerically stable generation of correlation matrices and their factors
- On Random Correlation Matrices
- On the parametrization of autoregressive models by partial autocorrelations
- Population correlation matrices for sampling experiments
- Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property
- Time-series models with an EGB2 conditional distribution
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