Generating random correlation matrices based on vines and extended onion method

Journal of Multivariate Analysis - Tập 100 Số 9 - Trang 1989-2001 - 2009
Daniel Lewandowski1, Dorota Kurowicka1, Harry Joe2
1Department of Mathematics, Delft University of Technology, The Netherlands
2Department of Statistics, University of British Columbia, Canada

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Từ khóa


Tài liệu tham khảo

Joe, 2006, Generating random correlation matrices based on partial correlations, Journal of Multivariate Analysis, 97, 2177, 10.1016/j.jmva.2005.05.010

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Ghosh, 2003, Behavior of the norta method for correlated random vector generation as the dimension increases, ACM Transactions on Modeling and Computer Simulation (TOMACS), 13, 276, 10.1145/937332.937336

Kurowicka, 2006

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Kurowicka, 2006, Completion problem with partial correlation vines, Linear Algebra and its Applications, 418, 188, 10.1016/j.laa.2006.01.031

Joe, 1997

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