Direct formulation to Cholesky decomposition of a general nonsingular correlation matrix

DOI10.1016/J.SPL.2015.03.014zbMATH Open1328.62369arXiv1412.1181OpenAlexW1973327202WikidataQ35683296 ScholiaQ35683296MaRDI QIDQ893976FDOQ893976

Vered Madar

Publication date: 23 November 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: We present two novel, explicit representations of Cholesky factor of a nonsingular correlation matrix. The first representation uses semi-partial correlation coefficients as its entries. The second, uses an equivalent form of the square roots of the differences between two ratios of successive determinants. Each of the two new forms enjoys parsimony of notations and offers a simpler alternative to both spherical factorization and the multiplicative partial correlation Cholesky matrix (Cooke et al 2011). Two relevant applications are offered for each form: a simple $t$-test for assessing the independence of a single variable in a multivariate normal structure, and a straightforward algorithm for generating random positive-definite correlation matrix. The second representation is also extended to any nonsingular hermitian matrix.

Full work available at URL: https://arxiv.org/abs/1412.1181

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zbMATH Keywords

correlation matrixCholesky factorgenerating random correlation matrixpartial and semi-partial correlation coefficient

Mathematics Subject Classification ID

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

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Cited In (7)

• An adaptive method for likelihood optimization in linear mixed models under constrained search spaces
• Generating random correlation matrices with fixed values: an application to the evaluation of multivariate surrogate endpoints
• Title not available (Why is that?)
• Unconstrained Cholesky-based parametrization of correlation matrices
• Cholesky Decompositions and Estimation of A Covariance Matrix: Orthogonality of Variance Correlation Parameters
• Distribution of random correlation matrices: hyperspherical parameterization of the Cholesky factor
• Bayesian estimation of correlation matrices of longitudinal data

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