Distribution of random correlation matrices: Hyperspherical parameterization of the Cholesky factor Academic Article uri icon


  • 2015 Elsevier B.V. All rights reserved. We study the distribution of random correlation matrices using the hyperspherical parameterization of their Cholesky factors and the distributions of the related angles. We highlight the roles of this procedure in generating high-dimensional correlation matrices.

published proceedings


author list (cited authors)

  • Pourahmadi, M., & Wang, X.

citation count

  • 29

complete list of authors

  • Pourahmadi, Mohsen||Wang, Xiao

publication date

  • January 2015