Distribution of random correlation matrices: hyperspherical parameterization of the Cholesky factor

DOI10.1016/j.spl.2015.06.015zbMath1398.62133OpenAlexW1120194648MaRDI QIDQ900522

Mohsen Pourahmadi, Xiao Wang

Publication date: 22 December 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2015.06.015

zbMATH Keywords

Jacobiansimulationreparameterizationpositive-definiteness

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Random matrices (probabilistic aspects) (60B20) Probability distributions: general theory (60E05)

Related Items (12)

A self-consistent-field iteration for MAXBET with an application to multi-view feature extraction ⋮ The shape of partial correlation matrices ⋮ Copula density estimation by finite mixture of parametric copula densities ⋮ An efficient algorithm for sampling from sin^k (x) for generating random correlation matrices ⋮ Parametrising correlation matrices ⋮ Bayesian Copula Density Deconvolution for Zero-Inflated Data in Nutritional Epidemiology ⋮ Bayesian estimation of correlation matrices of longitudinal data ⋮ Optimal portfolio deleveraging under market impact and margin restrictions ⋮ Generating random correlation matrices with fixed values: an application to the evaluation of multivariate surrogate endpoints ⋮ Flexible Bayesian dynamic modeling of correlation and covariance matrices ⋮ A Structure-Exploiting Nested Lanczos-Type Iteration for the Multiview Canonical Correlation Analysis ⋮ An analytical shrinkage estimator for linear regression

Cites Work

• Unnamed Item
• Unnamed Item
• Generating random correlation matrices based on vines and extended onion method
• Generating random correlation matrices based on partial correlations
• Direct formulation to Cholesky decomposition of a general nonsingular correlation matrix
• Modeling covariance matrices via partial autocorrelations
• Numerically stable generation of correlation matrices and their factors
• Generating random correlation matrices by the simple rejection method: why it does not work
• Efficient estimation of covariance selection models
• On Random Correlation Matrices
• Generating Correlation Matrices
• The generation of pseudo- random correlation matrices
• Population correlation matrices for sampling experiments
• Sampling Uniformly From the Set of Positive Definite Matrices With Trace Constraint
• Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation
• A Joint Modelling Approach for Longitudinal Studies
• Parameterizing correlations: a geometric interpretation

This page was built for publication: Distribution of random correlation matrices: hyperspherical parameterization of the Cholesky factor