کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
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1145633 | 1489671 | 2014 | 11 صفحه PDF | دانلود رایگان |
We extend the methodology of generating the random correlation matrix of Joe (2006) and Lewandowski et al. (2009) by introducing a partial correlation expansion of the determinant of a correlation matrix which is more general than the partial correlations on a regular vine used in Lewandowski et al. (2009). This generalization allows us to formulate the partial correlation expansion of determinant for a correlation matrix with a chordal sparsity pattern. For such a partially specified correlation matrix we find a uniform density of unspecified correlations. This leads to a closed form formula for the volume of the space of correlation matrices with specified correlations corresponding to a chordal graph. We present an algorithm to generate uniformly a random correlation matrix with a chordal sparsity pattern.
Journal: Journal of Multivariate Analysis - Volume 129, August 2014, Pages 160–170