Direct formulation to Cholesky decomposition of a general nonsingular correlation matrix

DOI10.17615/94ng-1175 10.1016/j.spl.2015.03.014; 10.17615/94ng-1175zbMath1328.62369arXiv1412.1181MaRDI QIDQ893976

Vered Madar

Publication date: 23 November 2015

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

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

zbMATH Keywords

correlation matrix; Cholesky factor; generating random correlation matrix; partial and semi-partial correlation coefficient

Mathematics Subject Classification ID

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

Related Items

Unconstrained Cholesky-based parametrization of correlation matrices, Bayesian estimation of correlation matrices of longitudinal data, Distribution of random correlation matrices: hyperspherical parameterization of the Cholesky factor, Generating random correlation matrices with fixed values: an application to the evaluation of multivariate surrogate endpoints

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