Unconstrained Cholesky-based parametrization of correlation matrices

DOI10.1080/03610918.2019.1628271MaRDI QIDQ5082802zbMATH OpenOpenAlexWikidataFDO

Authors Rutger D. van Oest

Publication date 21 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://hdl.handle.net/11250/2657354

zbMATH Keywords

Cholesky decompositioncorrelation matricessimulationunconstrained parametrization

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cites work

• Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods
• An introduction to copulas.
• Direct formulation to Cholesky decomposition of a general nonsingular correlation matrix
• Efficient Bayesian inference for Gaussian copula regression models
• Generating random correlation matrices based on partial correlations
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• Modelling structured correlation matrices
• Multivariate Dispersion Models Generated From Gaussian Copula

Cited in

(10)

• On the structure and invertibility of the autocorrelation matrix in the unconstrained FDLMS problem
• The correlation memory matrix for parameter estimation
• Comparing unconstrained parametrization methods for return covariance matrix prediction
• Parametrising correlation matrices
• Two useful techniques for financial modelling problems
• A New Parametrization of Correlation Matrices
• Modelling structured correlation matrices
• Parameterizing correlations: a geometric interpretation
• Direct formulation to Cholesky decomposition of a general nonsingular correlation matrix
• Distribution of random correlation matrices: hyperspherical parameterization of the Cholesky factor

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• Ox

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