Generating random correlation matrices based on vines and extended onion method
نویسندگان
چکیده
منابع مشابه
Generating random correlation matrices based on partial correlation vines and the onion method
Partial correlation vines and the onion method are presented for generating random correlation matrices. As a special case, a uniform distribution over the set of d× d positive definite correlation matrices obtains. Byproducts are: (a) For a uniform distribution over the space of d × d correlation matrices, the marginal distribution of each correlation is Beta(d/2, d/2) on (−1, 1). (b) An ident...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2009
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2009.04.008