Statistical corrections of invalid correlation matrices

DOI10.1111/SJOS.12035MaRDI QIDQ2868869zbMATH OpenOpenAlexFDO

Authors Anders Løland, Ragnar Bang Huseby, Nils Lid Hjort, Arnoldo Frigessi

Publication date 19 December 2013

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/sjos.12035

zbMATH Keywords

beta distributionsCholesky factorizationMarkov chain Monte Carlonon-informative priorspositive definitepseudo-likelihoodpseudo-posterior

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20) Numerical analysis or methods applied to Markov chains (65C40)

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Cited in

(7)

• Extending approximate Bayesian computation methods to high dimensions via a Gaussian copula model
• Robust estimation of precision matrices under cellwise contamination
• Statistical rehabilitation of improper correlation matrices
• A numerical likelihood-based approach to combining correlation matrices
• Positive definite correlation matrix estimator and its application based on Gaussian pseudo-likelihood
• Bootstraps regularize singular correlation matrices
• (sfi)\(^2\) statistics for innovation -- the experience of the Oslo centre in industrial statistics

Describes a project that uses

Uses Software

• LBFGS-B

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