Generating random correlation matrices based on vines and extended onion method
From MaRDI portal
Publication:842918
DOI10.1016/j.jmva.2009.04.008zbMath1170.62042OpenAlexW2084045976WikidataQ56865714 ScholiaQ56865714MaRDI QIDQ842918
Daniel Lewandowski, Dorota Kurowicka, Joe, Harry
Publication date: 28 September 2009
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2009.04.008
Multivariate distribution of statistics (62H10) Measures of association (correlation, canonical correlation, etc.) (62H20) Random matrices (algebraic aspects) (15B52)
Related Items (69)
Hierarchical Bayesian models of reinforcement learning: introduction and comparison to alternative methods ⋮ Regime switches in the dependence structure of multidimensional financial data ⋮ Parsimonious parameterization of correlation matrices using truncated vines and factor analysis ⋮ Causal mediation analysis between resistance exercise and reduced risk of cardiovascular disease based on the Aerobics Center Longitudinal Study ⋮ On the optimization of approximate control variates with parametrically defined estimators ⋮ An efficient algorithm to assess multivariate surrogate endpoints in a causal inference framework ⋮ Global correlation and uncertainty accounting ⋮ A response-time-based latent response mixture model for identifying and modeling careless and insufficient effort responding in survey data ⋮ The shape of partial correlation matrices ⋮ Model selection for Bayesian linear mixed models with longitudinal data: Sensitivity to the choice of priors ⋮ When can we improve on sample average approximation for stochastic optimization? ⋮ Linearized Robust Counterparts of Two-Stage Robust Optimization Problems with Applications in Operations Management ⋮ Parametric supplements to systems factorial analysis: identifying interactive parallel processing using systems of accumulators ⋮ A method for generating realistic correlation matrices ⋮ Parametrising correlation matrices ⋮ Ensemble Economic Scenario Generators: Unity Makes Strength ⋮ A Bayesian nonparametric approach for inferring drug combination effects on mental health in people with HIV ⋮ Tractable Bayes of Skew-Elliptical Link Models for Correlated Binary Data ⋮ A latent space diffusion item response theory model to explore conditional dependence between responses and response times ⋮ The Dirichlet dual response model: an item response model for continuous bounded interval responses ⋮ Latent Ornstein‐Uhlenbeck models for Bayesian analysis of multivariate longitudinal categorical responses ⋮ Direct formulation to Cholesky decomposition of a general nonsingular correlation matrix ⋮ The asymptotic distribution of the determinant of a random correlation matrix ⋮ Detecting individual preferences and erroneous verdicts in mixed martial arts judging using Bayesian hierarchical models ⋮ Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property ⋮ Bayesian Cox regression for large-scale inference with applications to electronic health records ⋮ A finite mixture mixed proportion regression model for classification problems in longitudinal voting data ⋮ Scalable inference for a full multivariate stochastic volatility model ⋮ Bayesian estimation of correlation matrices of longitudinal data ⋮ Bayesian ridge regression for survival data based on a vine copula-based prior ⋮ An explanatory mixture <scp>IRT</scp> model for careless and insufficient effort responding in self‐report measures ⋮ Joint models with multiple longitudinal outcomes and a time-to-event outcome: a corrected two-stage approach ⋮ Distribution of random correlation matrices: hyperspherical parameterization of the Cholesky factor ⋮ Bayesian dynamic borrowing of historical information with applications to the analysis of large-scale assessments ⋮ The vine philosopher ⋮ The relationship between moderate to vigorous physical activity and metabolic syndrome: a Bayesian measurement error approach ⋮ Correlation matrices with average constraints ⋮ Joint models for longitudinal and discrete survival data in credit scoring ⋮ The analysis of serve decisions in tennis using Bayesian hierarchical models ⋮ Unlabelled landmark matching via Bayesian data selection, and application to cell matching across imaging modalities ⋮ Bayesian hierarchical response time modelling—A tutorial ⋮ On FISTA with a relative error rule ⋮ DYNAMIC ASSET CORRELATIONS BASED ON VINES ⋮ Additive multivariate Gaussian processes for joint species distribution modeling with heterogeneous data ⋮ Large-scale inference of correlation among mixed-type biological traits with phylogenetic multivariate probit models ⋮ Efficient Bayesian inference of general Gaussian models on large phylogenetic trees ⋮ Properties and comparison of risk capital allocation methods ⋮ A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series ⋮ Generating random correlation matrices with fixed values: an application to the evaluation of multivariate surrogate endpoints ⋮ Joint density of correlations in the correlation matrix with chordal sparsity patterns ⋮ Unnamed Item ⋮ On generating random Gaussian graphical models ⋮ Predicting paleoclimate from compositional data using multivariate Gaussian process inverse prediction ⋮ Maximum likelihood estimation of skew-t copulas with its applications to stock returns ⋮ Symmetric matrices, Catalan paths, and correlations ⋮ Unnamed Item ⋮ Control of the false discovery rate under dependence using the bootstrap and subsampling ⋮ Assessing importance of biomarkers: A Bayesian joint modelling approach of longitudinal and survival data with semi-competing risks ⋮ Pairwise estimation of multivariate longitudinal outcomes in a Bayesian setting with extensions to the joint model ⋮ Dial \(\hat{M}\) for monotonic: a kernel-based Bayesian approach to state-trace analysis ⋮ A hierarchical Bayesian state trace analysis for assessing monotonicity while factoring out subject, item, and trial level dependencies ⋮ A tutorial on Dirichlet process mixture modeling ⋮ Bayesian ridge estimators based on copula-based joint prior distributions for regression coefficients ⋮ The reliability factor: modeling individual reliability with multiple items from a single assessment ⋮ ON COMPLEX ECONOMIC SCENARIO GENERATORS: IS LESS MORE? ⋮ Modeling nematode population dynamics using a multivariate poisson model with spike and slab variable selection ⋮ Automatic model training under restrictive time constraints ⋮ Generating Correlation Matrices With Specified Eigenvalues Using the Method of Alternating Projections ⋮ cCorrGAN: conditional correlation GAN for learning empirical conditional distributions in the elliptope
Cites Work
- Unnamed Item
- Unnamed Item
- Completion problem with partial correlation vines
- Generating random correlation matrices based on partial correlations
- Vines -- a new graphical model for dependent random variables.
- Uncertainty Analysis with High Dimensional Dependence Modelling
- Behavior of the NORTA method for correlated random vector generation as the dimension increases
This page was built for publication: Generating random correlation matrices based on vines and extended onion method
