Generating random correlation matrices based on partial correlations

DOI10.1016/j.jmva.2005.05.010zbMath1112.62055MaRDI QIDQ853948

Joe, Harry

Publication date: 7 December 2006

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2005.05.010

zbMATH Keywords

beta distribution; determinant of correlation matrix

Mathematics Subject Classification ID

62H10: Multivariate distribution of statistics

62H20: Measures of association (correlation, canonical correlation, etc.)

15A15: Determinants, permanents, traces, other special matrix functions

15B52: Random matrices (algebraic aspects)

Related Items

Generating random correlation matrices based on vines and extended onion method, Extended studies of separability functions and probabilities and the relevance of Dyson indices, Generating random \(\mathrm{AR}(p)\) and \(\mathrm{MA}(q)\) Toeplitz correlation matrices, Control of the false discovery rate under dependence using the bootstrap and subsampling, Modeling covariance matrices via partial autocorrelations

Uses Software

• AS 213

Cites Work

• Asymptotic efficiency of the two-stage estimation method for copula-based models
• On Random Correlation Matrices
• Generating Correlation Matrices
• The generation of pseudo- random correlation matrices
• Generation of correlation matrices with a given eigen–structure
• Population correlation matrices for sampling experiments
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item