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

abstract

• 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.

authors

• Pourahmadi, Mohsen

published proceedings

• STATISTICS & PROBABILITY LETTERS

author list (cited authors)

• Pourahmadi, M., & Wang, X.

citation count

• 29

complete list of authors

• Pourahmadi, Mohsen||Wang, Xiao

publication date

• January 2015

publisher

• Elsevier  Publisher

published in

• Statistics and Probability Letters  Journal

keywords

• Jacobian
• Positive-definiteness
• Reparameterization
• Simulation

Digital Object Identifier (DOI)

• 10.1016/j.spl.2015.06.015

start page

• 5

end page

• 12

volume

• 106

issue

• C