A parameterization of positive definite matrices in terms of partial correlation vines

DOI10.1016/S0024-3795(03)00507-XzbMath1027.60070WikidataQ56865721 ScholiaQ56865721MaRDI QIDQ1410721

Dorota Kurowicka, Roger M. Cooke

Publication date: 15 October 2003

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

zbMATH Keywords

correlationmatrix completionpositive definite matrixpartial correlationvinetree dependence

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Sampling theory, sample surveys (62D05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Positive matrices and their generalizations; cones of matrices (15B48) Basic linear algebra (15A99)

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