n130072SE Academic Article uri icon

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.

published proceedings

  • Statistics & Probability Letters

author list (cited authors)

  • Pourahmadi, M., & Wang, X.

publication date

  • January 1, 2015 11:11 AM