Statistical Corrections of Invalid Correlation Matrices

DOI10.1111/sjos.12035zbMath1283.62067OpenAlexW1607175919MaRDI QIDQ2868869

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

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

Markov chain Monte CarloCholesky factorizationnon-informative priorspseudo-likelihoodpseudo-posteriorbeta distributionspositive definite

Mathematics Subject Classification ID

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

Related Items

Extending approximate Bayesian computation methods to high dimensions via a Gaussian copula model, Robust estimation of precision matrices under cellwise contamination

Uses Software

• LBFGS-B

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Computing the nearest correlation matrix--a problem from finance
• The Adaptive Lasso and Its Oracle Properties
• On composite marginal likelihoods
• Efficient rank reduction of correlation matrices
• Adaptive search with stochastic acceptance probabilities for global optimization
• Default prior distributions from quasi- and quasi-profile likelihoods
• Robbins, empirical Bayes and microarrays
• Least angle regression. (With discussion)
• High-dimensional graphs and variable selection with the Lasso
• Approximate Bayesian Inference for Latent Gaussian models by using Integrated Nested Laplace Approximations
• Weighted Lasso with Data Integration
• Statistical rehabilitation of improper correlation matrices
• The Collinearity Problem in Linear Regression. The Partial Least Squares (PLS) Approach to Generalized Inverses
• A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix
• ML, PL, QL in Markov Chain Models
• Integrated risk modelling
• A Limited Memory Algorithm for Bound Constrained Optimization
• A preconditioned Newton algorithm for the nearest correlation matrix
• Bayesian correlation estimation
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Post-Processing Posterior PredictivepValues
• An invariant form for the prior probability in estimation problems