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

Mohsen Pourahmadi and Xiao Wang

Statistics & Probability Letters, 2015, vol. 106, issue C, 5-12

Abstract: 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.

Keywords: Jacobian; Simulation; Positive-definiteness; Reparameterization (search for similar items in EconPapers)
Date: 2015
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