Joint density of correlations in the correlation matrix with chordal sparsity patterns

DOI10.1016/j.jmva.2014.04.006zbMath1360.62296OpenAlexW2033164884WikidataQ56865715 ScholiaQ56865715MaRDI QIDQ2015063

Dorota Kurowicka

Publication date: 18 June 2014

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2014.04.006

zbMATH Keywords

distribution of correlation matrixsampling correlation matrixvolume measure of partially specified correlation matrix

Mathematics Subject Classification ID

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

Related Items (2)

An efficient algorithm to assess multivariate surrogate endpoints in a causal inference framework ⋮ Parametrising correlation matrices

Cites Work

• Positive definite completions of partial Hermitian matrices
• Generating random correlation matrices based on vines and extended onion method
• Generating random correlation matrices based on partial correlations
• Determinantal formulae for matrices with sparse inverses
• A parameterization of positive definite matrices in terms of partial correlation vines
• Incidence matrices and interval graphs
• Algorithmic Aspects of Vertex Elimination on Graphs
• Behavior of the NORTA method for correlated random vector generation as the dimension increases

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