Completion problem with partial correlation vines
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correlationgraphspositive definite matrixfactorizationchordal graphspartial matrixmaximal determinantcompletion problemregular vinepartial correlation vineproto correlation matrix
Graphs and linear algebra (matrices, eigenvalues, etc.) (05C50) Measures of association (correlation, canonical correlation, etc.) (62H20) Positive matrices and their generalizations; cones of matrices (15B48) Determinants, permanents, traces, other special matrix functions (15A15) Inverse problems in linear algebra (15A29)
Recommendations
- Vines inference
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- Joint density of correlations in the correlation matrix with chordal sparsity patterns
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Cites work
- A parameterization of positive definite matrices in terms of partial correlation vines
- An interior-point method for approximate positive semidefinite completions
- Determinantal formulae for matrix completions associated with chordal graphs
- Polynomial instances of the positive semidefinite and Euclidean distance matrix completion problems
- Positive definite completions of partial Hermitian matrices
- Probabilistic Networks and Expert Systems
- The real positive definite completion problem for a simple cycle
- The real positive semidefinite completion problem for series-parallel graphs
- Vines -- a new graphical model for dependent random variables.
Cited in
(26)- Distribution modeling for reliability analysis: impact of multiple dependences and probability model selection
- Regular vines with strongly chordal pattern of (conditional) independence
- Parsimonious parameterization of correlation matrices using truncated vines and factor analysis
- Structure learning in Bayesian networks using regular vines
- Vines and MAT-labeled graphs
- A parameterization of positive definite matrices in terms of partial correlation vines
- Extended studies of separability functions and probabilities and the relevance of Dyson indices
- Measuring rank correlation coefficients between financial time series: a GARCH-copula based sequence alignment algorithm
- Expert judgement for dependence in probabilistic modelling: a systematic literature review and future research directions
- Dynamic asset correlations based on vines
- Efficient maximum likelihood estimation of copula based meta \(t\)-distributions
- Understanding relationships with the aggregate zonal imbalance using copulas
- Vines inference
- Robust pair-copula based forecasts of realized volatility
- Pair-copula constructions of multiple dependence
- The essential dependence for a group of random vectors
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
- Generating random correlation matrices based on vines and extended onion method
- Truncation of vine copulas using fit indices
- Joint density of correlations in the correlation matrix with chordal sparsity patterns
- The asymptotic distribution of the determinant of a random correlation matrix
- Generating random correlation matrices with fixed values: an application to the evaluation of multivariate surrogate endpoints
- Modeling covariance matrices via partial autocorrelations
- Bayesian estimation of correlation matrices of longitudinal data
- Sampling, conditionalizing, counting, merging, searching regular vines
- Sampling algorithms for generating joint uniform distributions using the Vine-Copula method
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