Random correlation matrices generated via partial correlation C-vines

DOI10.1016/J.JMVA.2025.105519MaRDI QIDQ6874705zbMATH OpenFDO

Authors Harry Joe, D. Kurowicka

Publication date 15 January 2026

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JMVA.2025.105519

zbMATH Keywords

acceptance-rejectionbeta distributionpartial correlation vinerecursion of moments

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cites work

• A new method for generating random correlation matrices
• A New Parametrization of Correlation Matrices
• A parameterization of positive definite matrices in terms of partial correlation vines
• CM-generator: an approach for generating customized correlation matrices
• Correlation matrices with average constraints
• Dependence modeling with copulas
• Distribution of random correlation matrices: hyperspherical parameterization of the Cholesky factor
• Generating Correlation Matrices
• Generating Correlation Matrices With Specified Eigenvalues Using the Method of Alternating Projections
• Generating random correlation matrices based on partial correlations
• Generating random correlation matrices based on vines and extended onion method
• Generation of correlation matrices with a given eigen–structure
• On Random Correlation Matrices
• Probability density decomposition for conditionally dependent random variables modeled by vines
• Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property
• Some Elementary Inequalities Relating to the Gamma and Incomplete Gamma Function
• Vines -- a new graphical model for dependent random variables.

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