Article ID Journal Published Year Pages File Type
1154328 Statistics & Probability Letters 2015 8 Pages PDF
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.

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Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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Distribution of random correlation matrices: Hyperspherical parameterization of the Cholesky factor
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