Correlation matrix with block structure and efficient sampling methods

DOI10.21314/JCF.2010.216MaRDI QIDQ5411512zbMATH OpenOpenAlexFDO

Authors Jinggang Huang, L. M. Yang

Publication date 23 April 2014

Published in The Journal of Computational Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.21314/jcf.2010.216

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Monte Carlo methods (65C05) Credit risk (91G40) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• A method for generating realistic correlation matrices
• Generating multivariate correlated samples
• Generating Correlation Matrices
• Generating random correlation matrices with fixed values: an application to the evaluation of multivariate surrogate endpoints
• A heuristic approach for the generation of multivariate random samples with specified marginal distributions and correlation matrix

Cited in

(9)

• Parameter expansion for sampling a correlation matrix: an efficient GPX-RPMH algorithm
• COMPATIBILITY AND ATTAINABILITY OF MATRICES OF CORRELATION-BASED MEASURES OF CONCORDANCE
• Matrix compression along isogenic blocks
• The eigenstructure of block-structured correlation matrices and its implications for principal component analysis
• Efficient block boundaries estimation in block-wise constant matrices: an application to HiC data
• A note on portfolios of averages of lognormal variables
• Community Detection with Heterogeneous Block Covariance Model
• Hypothesis testing under uniform-block covariance structures
• Network-Assisted High-Dimensional Factor Model Estimation

This page was built for publication: Correlation matrix with block structure and efficient sampling methods

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5411512)