Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property

DOI10.1080/00949655.2018.1546861OpenAlexW2901919606WikidataQ128914135 ScholiaQ128914135MaRDI QIDQ5107327

Jan-Frederik Mai, Amelie Hüttner

Publication date: 27 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2018.1546861

zbMATH Keywords

eigenvaluesPerron-Frobenius propertyBendel-Mickey algorithmrandom correlation matrix

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (2)

Correlation matrices with average constraints ⋮ cCorrGAN: conditional correlation GAN for learning empirical conditional distributions in the elliptope

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