The spherical parametrisation for correlation matrices and its computational advantages
Riccardo Lucchetti, Luca Pedini
| Year of publication: |
2024
|
|---|---|
| Authors: | Lucchetti, Riccardo ; Pedini, Luca |
| Subject: | Correlation matrix | DCC-GARCH model | Multivariate probit | Spherical coordinates | Korrelation | Correlation | Lineare Algebra | Linear algebra | Schätztheorie | Estimation theory |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-023-10467-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015078073