Statistical rehabilitation of improper correlation matrices

DOI10.1080/14697680903390118MaRDI QIDQ3088326zbMATH OpenOpenAlexFDO

Authors Arnoldo Frigessi, Anders Løland, Antonio Pievatolo, Fabrizio Ruggeri

Publication date 19 August 2011

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680903390118

zbMATH Keywords

Bayesian statisticsbeta distributioncorrelationstatistics

Mathematics Subject Classification ID

Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistical methods; risk measures (91G70)

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Cites work

• A Limited Memory Algorithm for Bound Constrained Optimization
• A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix
• Computing the nearest correlation matrix--a problem from finance
• Efficient rank reduction of correlation matrices
• Integrated risk modelling

Cited in

(5)

• Statistical corrections of invalid correlation matrices
• Complete the correlation matrix
• A Black-Litterman approach to correlation stress testing
• Bootstraps regularize singular correlation matrices
• (sfi)\(^2\) statistics for innovation -- the experience of the Oslo centre in industrial statistics

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