Hyper Markov laws for correlation matrices

DOI10.5705/SS.202016.0224MaRDI QIDQ4626683zbMATH OpenOpenAlexFDO

Authors Jeremy T. Gaskins

Publication date 28 February 2019

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/09ceb180ac12113855fd6a35408b1141e7bbda1a

zbMATH Keywords

copula modeldependence modelingGaussian graphical modelhyper inverse Wishartreversible jump MCMCsparsity

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

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(5)

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• Correlation properties of the random linear high-order Markov chains
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