A parameterization of positive definite matrices in terms of partial correlation vines

By Dorota Kurowicka, Roger M. Cooke. 2003

66 citations recorded by the source corpus.

Subfields: Computational Theory and Mathematics, Electrical and Electronic Engineering, Geometry and Topology

View Paper: https://www.semanticscholar.org/paper/c8e5c549d033aa999f6f6652a8e2d64ee6d33da4

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Computational Theory and Mathematics

1. Mohsen Pourahmadi
2. P. R. Hansen
3. I. Archakov

In Electrical and Electronic Engineering

1. Mohsen Pourahmadi
2. P. R. Hansen
3. I. Archakov

In Geometry and Topology

1. Mohsen Pourahmadi
2. P. R. Hansen
3. I. Archakov

Citations in the corpus

• A New Parametrization of Correlation Matrices (2020, methodology): “These methods include the Cholesky decomposition, the spherical trigonometric transformation, transformations based on partial correlation vines, and methods based on the spectral representation, such as the matrix logarithm, see e.g. Kurowicka and Cooke (2003).”
• Covariance Estimation: The GLM and Regularization Perspectives (2011, background): “The fundamental determinantal identity, |Σ|= ( p ∏ i=1 σii ) p ∏ i=2 i−j ∏ j=1 (1− π2ij),(25) has been redicovered recently by Dégerine and Lambert-Lacroix (2003), Kurowicka and Cooke (2003) and Joe (2006), but its origin can be traced to a notable and somewhat neglected paper of Yule (1907), equat”