Unconstrained Cholesky-based parametrization of correlation matrices

DOI10.1080/03610918.2019.1628271zbMATH Open1497.62140OpenAlexW2949773398WikidataQ127682649 ScholiaQ127682649MaRDI QIDQ5082802FDOQ5082802

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

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zbMATH Keywords

simulationCholesky decompositioncorrelation matricesunconstrained parametrization

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Multivariate Dispersion Models Generated From Gaussian Copula
• An introduction to copulas.
• Efficient Bayesian inference for Gaussian copula regression models
• Generating random correlation matrices based on partial correlations
• Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods
• Modelling structured correlation matrices
• Direct formulation to Cholesky decomposition of a general nonsingular correlation matrix

Cited In (10)

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

Uses Software

• Ox

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