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Activity Number:
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555
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Type:
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Contributed
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Date/Time:
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Wednesday, August 3, 2016 : 10:30 AM to 12:20 PM
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Sponsor:
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Section for Statistical Programmers and Analysts
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Abstract #321002
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Title:
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Distribution of Random Correlation Matrices: Hyperspherical Parameterization of the Cholesky Factor
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Author(s):
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Xiao Wang* and Mohsen Pourahmadi
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Companies:
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and Texas A&M University
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Keywords:
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Jacobian ;
Simulation ;
positive-definiteness ;
reparameterization
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Abstract:
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We study the distribution of random correlation matrices using the hyperspherical parameterization of their Cholesky factors and the distributions of the related angles. We highlight the roles of this procedure in generating high-dimensional correlation matrices.
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Authors who are presenting talks have a * after their name.
