☆ 4.6 Article

A New Parametrization of Correlation Matrices

ECONOMETRICA (2021)

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Summary: This study presents a novel parametrization method for correlation matrices, allowing modeling of correlations and covariance matrices using an unrestricted vector and has various potential applications. An algorithm is provided for reconstructing a unique n x n correlation matrix from any vector in Rn(n-1)/2, with its numerical complexity derived.

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