Unconstrained Cholesky-based parametrization of correlation matrices

DOI10.1080/03610918.2019.1628271MaRDI QIDQ5082802zbMATHOpenAlexWikidataFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• 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
• Modelling structured correlation matrices
• Multivariate Dispersion Models Generated From Gaussian Copula

Cited in

(10)

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

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Uses Software

• Ox

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