Completion problem with partial correlation vines
DOI10.1016/J.LAA.2006.01.031zbMATH Open1106.15011OpenAlexW1965115537WikidataQ56865722 ScholiaQ56865722MaRDI QIDQ852640FDOQ852640
Authors: D. Kurowicka, R. M. Cooke 
Publication date: 15 November 2006
Published in: Linear Algebra and its Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.laa.2006.01.031
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correlationgraphspositive definite matrixfactorizationchordal graphspartial matrixmaximal determinantcompletion problemregular vinepartial correlation vineproto correlation matrix
Graphs and linear algebra (matrices, eigenvalues, etc.) (05C50) Measures of association (correlation, canonical correlation, etc.) (62H20) Positive matrices and their generalizations; cones of matrices (15B48) Determinants, permanents, traces, other special matrix functions (15A15) Inverse problems in linear algebra (15A29)
Cites Work
- Vines -- a new graphical model for dependent random variables.
- Probabilistic Networks and Expert Systems
- Positive definite completions of partial Hermitian matrices
- The real positive definite completion problem for a simple cycle
- The real positive semidefinite completion problem for series-parallel graphs
- A parameterization of positive definite matrices in terms of partial correlation vines
- Determinantal formulae for matrix completions associated with chordal graphs
- An interior-point method for approximate positive semidefinite completions
- Polynomial instances of the positive semidefinite and Euclidean distance matrix completion problems
Cited In (26)
- Modeling covariance matrices via partial autocorrelations
- Distribution modeling for reliability analysis: impact of multiple dependences and probability model selection
- Robust pair-copula based forecasts of realized volatility
- Understanding relationships with the aggregate zonal imbalance using copulas
- Generating random correlation matrices with fixed values: an application to the evaluation of multivariate surrogate endpoints
- Joint density of correlations in the correlation matrix with chordal sparsity patterns
- Regular vines with strongly chordal pattern of (conditional) independence
- Sampling, conditionalizing, counting, merging, searching regular vines
- The asymptotic distribution of the determinant of a random correlation matrix
- Structure learning in Bayesian networks using regular vines
- Expert judgement for dependence in probabilistic modelling: a systematic literature review and future research directions
- Pair-copula constructions of multiple dependence
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
- A parameterization of positive definite matrices in terms of partial correlation vines
- Efficient maximum likelihood estimation of copula based meta \(t\)-distributions
- Measuring rank correlation coefficients between financial time series: a GARCH-copula based sequence alignment algorithm
- Dynamic asset correlations based on vines
- Truncation of vine copulas using fit indices
- Vines and MAT-labeled graphs
- Vines inference
- Sampling algorithms for generating joint uniform distributions using the Vine-Copula method
- Bayesian estimation of correlation matrices of longitudinal data
- Extended studies of separability functions and probabilities and the relevance of Dyson indices
- The essential dependence for a group of random vectors
- Parsimonious parameterization of correlation matrices using truncated vines and factor analysis
- Generating random correlation matrices based on vines and extended onion method
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