Parameterizing correlations: a geometric interpretation

By F. Rapisarda, Damiano Brigo, Fabio Mercurio. 2007

106 citations recorded by the source corpus.

Subfields: Computational Theory and Mathematics, Food Science, Geometry and Topology

View Paper: https://www.semanticscholar.org/paper/8bb9e0f93382b566bb5d8479c0bb3d5aa9d4dc38

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In Computational Theory and Mathematics

1. Håvard Rue

Citations in the corpus

• Penalising Model Component Complexity: A Principled, Practical Approach to Constructing Priors (2014, background): “e distance function to the base model is given by d(R) = p log(det(R)). This distance function can be greatly simplified by considering a different parameterisation of the set of correlation matrices. Rapisarda et al. (2007) show that every correlation matrix can be written as R= BBT, where Bis a low”