Parametrising correlation matrices
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Abstract: Correlation matrices are the sub-class of positive definite real matrices with all entries on the diagonal equal to unity. Earlier work has exhibited a parametrisation of the corresponding Cholesky factorisation in terms of partial correlations, and also in terms of hyperspherical co-ordinates. We show how the two are relating, starting from the definition of the partial correlations in terms of the Schur complement. We extend this to the generalisation of correlation matrices to the cases of complex and quaternion entries. As in the real case, we show how the hyperspherical parametrisation leads naturally to a distribution on the space of correlation matrices with probability density function proportional to . For certain , a construction of random correlation matrices realising this distribution is given in terms of rectangular standard Gaussian matrices.
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Cited in
(21)- A New Parametrization of Correlation Matrices
- Null spaces of correlation matrices
- Three-by-three correlation matrices: its exact shape and a family of distributions
- Unconstrained Cholesky-based parametrization of correlation matrices
- A parameterization of positive definite matrices in terms of partial correlation vines
- Correlations whose squares are perspectivities
- Distribution of random correlation matrices: hyperspherical parameterization of the Cholesky factor
- Modelling structured correlation matrices
- Visualization of a set of parameters characterized by their correlation matrix.
- Direct formulation to Cholesky decomposition of a general nonsingular correlation matrix
- The correlation memory matrix for parameter estimation
- Compatible matrices of Spearman's rank correlation
- Parameterizing correlations: a geometric interpretation
- scientific article; zbMATH DE number 4151591 (Why is no real title available?)
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- A note on adjusting correlation matrices
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- Generalized Covariance Estimator
- The volume of the spatial region corresponding to \(n\times n\) correlation matrices
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