Year: 2024
Type: preprint
Abstract: We propose a Cholesky factor parameterization of correlation matrices that facilitates a priori restrictions on the correlation matrix. It is a smooth and differentiable transform that allows additional boundary constraints on the correlation values. Our particular motivation is random sampling under positivity constraints on the space of correlation matrices using MCMC methods.
Source: arXiv (Cornell University)
Author: Pinkney, Sean
Institution: Omnicom Group (United States)
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W4396913515