Distribution of random correlation matrices: hyperspherical parameterization of the Cholesky factor
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Publication:900522
DOI10.1016/J.SPL.2015.06.015zbMATH Open1398.62133OpenAlexW1120194648MaRDI QIDQ900522FDOQ900522
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
Recommendations
Probability distributions: general theory (60E05) Multivariate distribution of statistics (62H10) Random matrices (probabilistic aspects) (60B20)
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- Generating random correlation matrices with fixed values: an application to the evaluation of multivariate surrogate endpoints
- An efficient algorithm for sampling from sink (x) for generating random correlation matrices
- The shape of partial correlation matrices
- 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
- Bayesian Copula Density Deconvolution for Zero-Inflated Data in Nutritional Epidemiology
- Parametrising correlation matrices
- A self-consistent-field iteration for MAXBET with an application to multi-view feature extraction
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