Generating random correlation matrices by the simple rejection method: why it does not work

DOI10.1016/J.SPL.2013.12.012MaRDI QIDQ2452869zbMATH OpenOpenAlexWikidataFDO

Authors Walter Böhm, Kurt Hornik

Publication date 5 June 2014

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

Full work available at URL https://doi.org/10.1016/j.spl.2013.12.012

zbMATH Keywords

asymptotic approximationBarnes \(G\)-functionrandom correlation matrix

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Random matrices (algebraic aspects) (15B52)

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Cites work

• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• Generating Correlation Matrices
• Generating random correlation matrices based on partial correlations
• On Random Correlation Matrices
• Positive definite random matrices.

Cited in

(18)

• Three-by-three correlation matrices: its exact shape and a family of distributions
• Distribution of random correlation matrices: hyperspherical parameterization of the Cholesky factor
• Necessary and sufficient conditions for the two-point phase probability function of two-phase random media
• Numerically stable generation of correlation matrices and their factors
• Symmetric matrices, Catalan paths, and correlations
• Bootstraps regularize singular correlation matrices
• Generating Correlation Matrices
• Generating valid \(4\times4\) correlation matrices
• Direct formulation to Cholesky decomposition of a general nonsingular correlation matrix
• On Random Correlation Matrices
• Generating random correlation matrices based on vines and extended onion method
• Positive definite random matrices.
• Generating random correlation matrices based on partial correlations
• The shape of partial correlation matrices
• Identifying dominant industrial sectors in market states of the S&P 500 financial data
• The asymptotic distribution of the determinant of a random correlation matrix
• Generating random correlation matrices with fixed values: an application to the evaluation of multivariate surrogate endpoints
• The volume of the spatial region corresponding to \(n\times n\) correlation matrices

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