Correlation matrices with average constraints

DOI10.1016/J.SPL.2020.108868MaRDI QIDQ2197633zbMATH OpenOpenAlexFDO

Authors Jan Tuitman, Steven Vanduffel, Jing Yao

Publication date 1 September 2020

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2020.108868

zbMATH Keywords

average correlationcorrelation matrixrandom correlation matricessimulation

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cites work

• A method for generating realistic correlation matrices
• Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
• Generating Correlation Matrices
• Generating random correlation matrices based on partial correlations
• Generating random correlation matrices based on vines and extended onion method
• Powers of tensors and fast matrix multiplication
• Reduction of Value-at-Risk bounds via independence and variance information
• Risk bounds for factor models
• Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property
• The complete mixability and convex minimization problems with monotone marginal densities
• The Efficient Generation of Random Orthogonal Matrices with an Application to Condition Estimators

Cited in

(9)

• Two useful techniques for financial modelling problems
• Complete the correlation matrix
• A method for generating realistic correlation matrices
• Generic features in the spectral decomposition of correlation matrices
• A new methodology to create valid time-dependent correlation matrices via isospectral flows
• Generating valid \(4\times4\) correlation matrices
• Random correlation matrices generated via partial correlation C-vines
• A Simple and Fast Algorithm for Generating Correlation Matrices with a Known Average Correlation Coefficient
• A new method for generating random correlation matrices

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