Completion problem with partial correlation vines

DOI10.1016/j.laa.2006.01.031zbMath1106.15011OpenAlexW1965115537WikidataQ56865722 ScholiaQ56865722MaRDI QIDQ852640

Dorota Kurowicka, Roger M. Cooke

Publication date: 15 November 2006

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.laa.2006.01.031

zbMATH Keywords

correlationgraphsfactorizationpartial matrixpositive definite matrixchordal graphscompletion problemmaximal determinantregular vinepartial correlation vineproto correlation matrix

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Determinants, permanents, traces, other special matrix functions (15A15) Graphs and linear algebra (matrices, eigenvalues, etc.) (05C50) Inverse problems in linear algebra (15A29) Positive matrices and their generalizations; cones of matrices (15B48)

Related Items (20)

Parsimonious parameterization of correlation matrices using truncated vines and factor analysis ⋮ Generating random correlation matrices based on vines and extended onion method ⋮ Regular vines with strongly chordal pattern of (conditional) independence ⋮ Structure learning in Bayesian networks using regular vines ⋮ The essential dependence for a group of random vectors ⋮ The asymptotic distribution of the determinant of a random correlation matrix ⋮ Bayesian estimation of correlation matrices of longitudinal data ⋮ Efficient maximum likelihood estimation of copula based meta \(t\)-distributions ⋮ DYNAMIC ASSET CORRELATIONS BASED ON VINES ⋮ Extended studies of separability functions and probabilities and the relevance of Dyson indices ⋮ Expert judgement for dependence in probabilistic modelling: a systematic literature review and future research directions ⋮ Measuring rank correlation coefficients between financial time series: a GARCH-copula based sequence alignment algorithm ⋮ Pair-copula constructions of multiple dependence ⋮ 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 ⋮ Distribution modeling for reliability analysis: impact of multiple dependences and probability model selection ⋮ Sampling algorithms for generating joint uniform distributions using the Vine-Copula method ⋮ Modeling covariance matrices via partial autocorrelations ⋮ Sampling, conditionalizing, counting, merging, searching regular vines ⋮ Truncation of vine copulas using fit indices

Cites Work

• The real positive semidefinite completion problem for series-parallel graphs
• Positive definite completions of partial Hermitian matrices
• The real positive definite completion problem for a simple cycle
• An interior-point method for approximate positive semidefinite completions
• A parameterization of positive definite matrices in terms of partial correlation vines
• Determinantal formulae for matrix completions associated with chordal graphs
• Vines -- a new graphical model for dependent random variables.
• Polynomial Instances of the Positive Semidefinite and Euclidean Distance Matrix Completion Problems
• Probabilistic Networks and Expert Systems

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