Distribution of random correlation matrices: hyperspherical parameterization of the Cholesky factor

DOI10.1016/J.SPL.2015.06.015MaRDI QIDQ900522zbMATH OpenOpenAlexFDO

Authors M. Pourahmadi, Xiao Wang

Publication date 22 December 2015

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

Full work available at URL https://doi.org/10.1016/j.spl.2015.06.015

zbMATH Keywords

simulationJacobianreparameterizationpositive-definiteness

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Multivariate distribution of statistics (62H10) Random matrices (probabilistic aspects) (60B20)

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Cites work

• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
• scientific article; zbMATH DE number 3954145 (Why is no real title available?)
• A joint modelling approach for longitudinal studies
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• Efficient estimation of covariance selection models
• Generating Correlation Matrices
• Generating random correlation matrices based on partial correlations
• Generating random correlation matrices based on vines and extended onion method
• Generating random correlation matrices by the simple rejection method: why it does not work
• Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation
• Modeling covariance matrices via partial autocorrelations
• Numerically stable generation of correlation matrices and their factors
• On Random Correlation Matrices
• Parameterizing correlations: a geometric interpretation
• Population correlation matrices for sampling experiments
• Sampling Uniformly From the Set of Positive Definite Matrices With Trace Constraint
• The generation of pseudo- random correlation matrices

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• An efficient algorithm for sampling from sin^k (x) for generating random correlation matrices
• The shape of partial correlation matrices
• Direct formulation to Cholesky decomposition of a general nonsingular correlation matrix
• Flexible Bayesian dynamic modeling of correlation and covariance matrices
• A Structure-Exploiting Nested Lanczos-Type Iteration for the Multiview Canonical Correlation Analysis
• Optimal portfolio deleveraging under market impact and margin restrictions
• Parameterizing correlations: a geometric interpretation
• Bayesian estimation of correlation matrices of longitudinal data
• Parametrising correlation matrices
• A self-consistent-field iteration for MAXBET with an application to multi-view feature extraction
• Bayesian Copula Density Deconvolution for Zero-Inflated Data in Nutritional Epidemiology

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