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

[1]  V. Madar.  Direct formulation to Cholesky decomposition of a general nonsingular correlation matrix. , 2014, Statistics & probability letters.

[2]  Chenlei Leng,et al.  A joint modelling approach for longitudinal studies , 2015 .

[3]  K. Hornik,et al.  Generating random correlation matrices by the simple rejection method: Why it does not work , 2014 .

[4]  A. Atsawarungruangkit,et al.  Generating Correlation Matrices Based on the Boundaries of Their Coefficients , 2012, PloS one.

[5]  Eduard A. Jorswieck,et al.  Sampling Uniformly From the Set of Positive Definite Matrices With Trace Constraint , 2012, IEEE Transactions on Signal Processing.

[6]  Mohsen Pourahmadi,et al.  Modeling covariance matrices via partial autocorrelations , 2009, J. Multivar. Anal..

[7]  Dorota Kurowicka,et al.  Generating random correlation matrices based on vines and extended onion method , 2009, J. Multivar. Anal..

[8]  D. Brigo,et al.  Parameterizing correlations: a geometric interpretation , 2007 .

[9]  H. Joe.  Generating random correlation matrices based on partial correlations , 2006 .

[10]  R. Kohn,et al.  Efficient estimation of covariance selection models , 2003 .

[11]  R. Rebonato,et al.  The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes , 2011 .

[12]  Philip I. Davies,et al.  Numerically Stable Generation of Correlation Matrices and Their Factors , 2000 .

[13]  M. Pourahmadi.  Joint mean-covariance models with applications to longitudinal data: Unconstrained parameterisation , 1999 .

[14]  Douglas M. Bates,et al.  Unconstrained parametrizations for variance-covariance matrices , 1996, Stat. Comput..

[15]  R. Holmes.  On random correlation matrices , 1991 .

[16]  L. Devroye.  Non-Uniform Random Variate Generation , 1986 .

[17]  I. Olkin,et al.  Generating Correlation Matrices , 1984 .

[18]  R. Muirhead.  Aspects of Multivariate Statistical Theory , 1982, Wiley Series in Probability and Statistics.

[19]  D. G. Johnson,et al.  The generation of pseudo- random correlation matrices , 1980 .

[20]  M. R. Mickey,et al.  Population correlation matrices for sampling experiments , 1978 .