Modelling structured correlation matrices

Ruey S. Tsay and Mohsen Pourahmadi

Biometrika, 2017, vol. 104, issue 1, 237-242

Abstract: SUMMARY Ensuring positive definiteness of an estimated structured correlation matrix is challenging. We show that reparameterizing Cholesky factors of correlation matrices using hyperspherical coordinates or angles provides a flexible and effective solution. Once a structured correlation matrix is identified, the corresponding angles and hence the constrained correlations may be estimated by maximum likelihood. Consistency and asymptotic normality of the maximum likelihood estimators of the angles are established. Examples demonstrate the flexibility of the method.

Keywords: Cholesky decomposition; Hyperspherical coordinate; Positive-definite matrix (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (3)

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