Generating random correlation matrices with fixed values: an application to the evaluation of multivariate surrogate endpoints

DOI10.1016/J.CSDA.2019.106834MaRDI QIDQ2008126zbMATH OpenOpenAlexWikidataFDO

Authors Alvaro Jóse Flórez, Ariel Alonso Abad, Geert Molenberghs, Wim Van der Elst

Publication date 22 November 2019

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://lirias.kuleuven.be/handle/123456789/643991

zbMATH Keywords

partial correlationrandom correlation matricespositive-definite matrixmultiple surrogate evaluationsimulation-based sensitivity analysis

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Measures of association (correlation, canonical correlation, etc.) (62H20) Random matrices (algebraic aspects) (15B52) Positive matrices and their generalizations; cones of matrices (15B48)

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Cites work

• A parameterization of positive definite matrices in terms of partial correlation vines
• An informational measure of correlation
• Completion problem with partial correlation vines
• Direct formulation to Cholesky decomposition of a general nonsingular correlation matrix
• Distribution of random correlation matrices: hyperspherical parameterization of the Cholesky factor
• Generating random correlation matrices based on partial correlations
• Generating random correlation matrices based on vines and extended onion method
• Generating random correlation matrices by the simple rejection method: why it does not work
• Numerically stable generation of correlation matrices and their factors
• On the relationship between the causal-inference and meta-analytic paradigms for the validation of surrogate endpoints
• Relative Entropy Measures of Multivariate Dependence
• Restoring definiteness via shrinking, with an application to correlation matrices with a fixed block
• Sampling Uniformly From the Set of Positive Definite Matrices With Trace Constraint
• Statistics and Causal Inference
• The central role of the propensity score in observational studies for causal effects
• The evaluation of surrogate endpoints.
• Transformation of non positive semidefinite correlation matrices

Cited in

(5)

• Correlation matrix with block structure and efficient sampling methods
• Generation of positiv definite matrices with constraints to validate network algorithms for micro array data.
• An efficient algorithm to assess multivariate surrogate endpoints in a causal inference framework
• A method for generating realistic correlation matrices
• Bayesian ridge regression for survival data based on a vine copula-based prior

Describes a project that uses

Uses Software

• Surrogate
• SAS
• R

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