Direct formulation to Cholesky decomposition of a general nonsingular correlation matrix
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Publication:893976
DOI10.17615/94ng-1175 10.1016/j.spl.2015.03.014; 10.17615/94ng-1175zbMath1328.62369arXiv1412.1181MaRDI QIDQ893976
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
correlation matrix; Cholesky factor; generating random correlation matrix; partial and semi-partial correlation coefficient
62H20: Measures of association (correlation, canonical correlation, etc.)
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