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  • Search: subject:"Volume measure of partially specified correlation matrix"
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Distribution of correlation matrix 1 Sampling correlation matrix 1 Volume measure of partially specified correlation matrix 1
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Kurowicka, Dorota 1
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Journal of Multivariate Analysis 1
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Joint density of correlations in the correlation matrix with chordal sparsity patterns
Kurowicka, Dorota - In: Journal of Multivariate Analysis 129 (2014) C, pp. 160-170
We extend the methodology of generating the random correlation matrix of Joe (2006) and Lewandowski et al. (2009) by introducing a partial correlation expansion of the determinant of a correlation matrix which is more general than the partial correlations on a regular vine used in Lewandowski...
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