期刊
STATISTICS & PROBABILITY LETTERS
卷 106, 期 -, 页码 5-12出版社
ELSEVIER
DOI: 10.1016/j.spl.2015.06.015
关键词
Jacobian; Simulation; Positive-definiteness; Reparameterization
资金
- NSF [DMS-1309586]
- Division Of Mathematical Sciences
- Direct For Mathematical & Physical Scien [1309586] Funding Source: National Science Foundation
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. (C) 2015 Elsevier B.V. All rights reserved.
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