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3 décembre 2020
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- 2012.02395
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Economics - Econometrics Quantitative Finance - Statistical Finance Statistics - Computation Statistics - MethodologySujets proches
Statistical data Cases, clinical reports, statistics Statistical data Statistical analysis Statistical methods Statistical science Matrix algebra Algebra, Matrix Matrixes (Algebra) Cracovians (Mathematics) Funds Funding Finance, commerce, confiscations, etcCiter ce document
Ilya Archakov et al., « A New Parametrization of Correlation Matrices », arXiv - économie
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We introduce a novel parametrization of the correlation matrix. The reparametrization facilitates modeling of correlation and covariance matrices by an unrestricted vector, where positive definiteness is an innate property. This parametrization can be viewed as a generalization of Fisther's Z-transformation to higher dimensions and has a wide range of potential applications. An algorithm for reconstructing the unique n x n correlation matrix from any d-dimensional vector (with d = n(n-1)/2) is provided, and we derive its numerical complexity.