Hyper Markov Laws for Correlation Matrices

DOI10.5705/ss.202016.0224zbMath1412.62076OpenAlexW2669932302MaRDI QIDQ4626683

Jeremy T. Gaskins

Publication date: 28 February 2019

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/09ceb180ac12113855fd6a35408b1141e7bbda1a

zbMATH Keywords

sparsityreversible jump MCMCGaussian graphical modeldependence modelingcopula modelhyper inverse Wishart

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Monte Carlo methods (65C05)

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