Generating random correlation matrices based on partial correlations
From MaRDI portal
Publication:853948
DOI10.1016/J.JMVA.2005.05.010zbMATH Open1112.62055OpenAlexW2087691922MaRDI QIDQ853948FDOQ853948
Authors: Harry Joe 
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
Recommendations
- On the generation of correlation matrices
- scientific article; zbMATH DE number 1191214
- On Random Correlation Matrices
- A method for generating realistic correlation matrices
- Generating random correlation matrices based on vines and extended onion method
- Generating correlated random vector involving discrete variables
- Generating random correlation matrices by the simple rejection method: why it does not work
- Publication:4728048
Multivariate distribution of statistics (62H10) Measures of association (correlation, canonical correlation, etc.) (62H20) Random matrices (algebraic aspects) (15B52) Determinants, permanents, traces, other special matrix functions (15A15)
Cites Work
- Asymptotic efficiency of the two-stage estimation method for copula-based models
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- On Random Correlation Matrices
- Population correlation matrices for sampling experiments
- Generating Correlation Matrices
- Generation of correlation matrices with a given eigen–structure
- Title not available (Why is that?)
- The generation of pseudo- random correlation matrices
Cited In (72)
- Bayesian modeling of the dependence in longitudinal data via partial autocorrelations and marginal variances
- Robust estimation of location and scatter by pruning the minimum spanning tree
- Positive definite random matrices.
- Control of the false discovery rate under dependence using the bootstrap and subsampling
- Modeling covariance matrices via partial autocorrelations
- Covariance estimation: the GLM and regularization perspectives
- Matrix sketching for supervised classification with imbalanced classes
- Generating random \(\mathrm{AR}(p)\) and \(\mathrm{MA}(q)\) Toeplitz correlation matrices
- Model distances for vine copulas in high dimensions
- Entropy measure of credit risk in highly correlated markets
- Generating random correlation matrices with fixed values: an application to the evaluation of multivariate surrogate endpoints
- A simple approach to the generation of uniformly distributed random variables with prescribed correlations
- Joint density of correlations in the correlation matrix with chordal sparsity patterns
- The geometry of gaussoids
- Generating valid \(4\times4\) correlation matrices
- Meta-analytic Gaussian network aggregation
- Three-by-three correlation matrices: its exact shape and a family of distributions
- Computationally efficient banding of large covariance matrices for ordered data and connections to banding the inverse Cholesky factor
- Symmetric matrices, Catalan paths, and correlations
- The asymptotic distribution of the determinant of a random correlation matrix
- Unconstrained Cholesky-based parametrization of correlation matrices
- The shape of partial correlation matrices
- Global correlation and uncertainty accounting
- Ensemble quantile classifier
- Model selection for Bayesian linear mixed models with longitudinal data: Sensitivity to the choice of priors
- Bayes factors for testing order-constrained hypotheses on correlations
- Direct formulation to Cholesky decomposition of a general nonsingular correlation matrix
- An extended empirical saddlepoint approximation for intractable likelihoods
- Generating random correlation matrices by the simple rejection method: why it does not work
- A parameterization of positive definite matrices in terms of partial correlation vines
- Distribution of random correlation matrices: hyperspherical parameterization of the Cholesky factor
- Dimensionality reduction for data of unknown cluster structure
- The volume of the spatial region corresponding to \(n\times n\) correlation matrices
- Unlabelled landmark matching via Bayesian data selection, and application to cell matching across imaging modalities
- Multiple imputation for continuous variables using a Bayesian principal component analysis
- An efficient algorithm to assess multivariate surrogate endpoints in a causal inference framework
- Quantile-based clustering
- Time series with infinite-order partial copula dependence
- Bayes factor testing of equality and order constraints on measures of association in social research
- The vine philosopher
- Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property
- On generating random Gaussian graphical models
- Functional random effects modeling of brain shape and connectivity
- Partial and average copulas and association measures
- Correlation matrices with average constraints
- Efficiency of the pMST and RDELA location and scatter estimators
- Finite mixtures of matrix normal distributions for classifying three-way data
- Extended studies of separability functions and probabilities and the relevance of Dyson indices
- A method for generating realistic correlation matrices
- Parametrising correlation matrices
- Bayesian ridge estimators based on copula-based joint prior distributions for regression coefficients
- A simplified algorithm for identifying abnormal changes in dynamic networks
- Generating random correlation matrices based on vines and extended onion method
- Dynamic partial correlation models
- Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model
- Title not available (Why is that?)
- Generating Correlation Matrices With Specified Eigenvalues Using the Method of Alternating Projections
- Bayesian estimation for longitudinal data in a joint model with HPCs
- The fraud loss for selecting the model complexity in fraud detection
- Logarithmic law of large random correlation matrices
- Sensitivity of principal components to system changes in the presence of non-stationarity
- Sparse clustering for customer segmentation with high-dimensional mixed-type data
- Cartesian and polar coordinates for the \(N\)-dimensional elliptope
- CITIES: clinical trials with intercurrent events simulator
- Bayesian network meta-regression hierarchical models using heavy-tailed multivariate random effects with covariate-dependent variances
- A prediction-based test for multiple endpoints
- Bayesian semiparametric copula estimation with application to psychiatric genetics
- Dynamic asset correlations based on vines
- Bayesian estimation in generalized linear models for longitudinal data with hyperspherical coordinates
- Bayesian estimation of correlation matrices of longitudinal data
- Bayesian ridge regression for survival data based on a vine copula-based prior
- Random Databases with Correlated Data
Uses Software
This page was built for publication: Generating random correlation matrices based on partial correlations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q853948)
