Modeling covariance matrices via partial autocorrelations
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Cites work
- scientific article; zbMATH DE number 4062374 (Why is no real title available?)
- scientific article; zbMATH DE number 47310 (Why is no real title available?)
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- scientific article; zbMATH DE number 3053501 (Why is no real title available?)
- A parameterization of positive definite matrices in terms of partial correlation vines
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Cited in
(26)- Bayesian modeling of the dependence in longitudinal data via partial autocorrelations and marginal variances
- Covariance reducing models: An alternative to spectral modelling of covariance matrices
- Covariance estimation: the GLM and regularization perspectives
- Generating random \(\mathrm{AR}(p)\) and \(\mathrm{MA}(q)\) Toeplitz correlation matrices
- Covariance Models with Spectral Additive Components
- ARMA Cholesky factor models for the covariance matrix of linear models
- Constructing priors based on model size for nondecomposable Gaussian graphical models: a simulation based approach
- Sample partial autocorrelation function of a multivariate time series
- Modelling covariance matrices by the trigonometric separation strategy with application to hidden Markov models
- Graphical Diagnostics for Modeling Unstructured Covariance Matrices
- Fitting covariance matrix models to simulations
- Computationally efficient banding of large covariance matrices for ordered data and connections to banding the inverse Cholesky factor
- An approximate marginal logistic distribution for the analysis of longitudinal ordinal data
- APPLICATION OF THE EXACT INVERSE OF THE TOEPLITZ MATRIX TO THE AUTOREGRESSIVE MODEL
- Robust estimation in multivariate heteroscedastic regression models with autoregressive covariance structures using EM algorithm
- The Matrix-Logarithmic Covariance Model
- Partial autocorrelation parameterization for subset autoregression
- Real-Time Macroeconomic Forecasting With a Heteroscedastic Inversion Copula
- A hierarchical multivariate spatio-temporal model for clustered climate data with annual cycles
- Distribution of random correlation matrices: hyperspherical parameterization of the Cholesky factor
- Dynamic asset correlations based on vines
- Bayesian semiparametric copula estimation with application to psychiatric genetics
- Estimation of copula models with discrete margins via Bayesian data augmentation
- Recovering networks from distance data
- Bayesian estimation of correlation matrices of longitudinal data
- Estimation of stationary autoregressive models with the Bayesian LASSO
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