• norsk
    • English
  • English 
    • norsk
    • English
  • Login
View Item 
  •   Home
  • Handelshøyskolen BI
  • Publikasjoner fra CRIStin - BI
  • View Item
  •   Home
  • Handelshøyskolen BI
  • Publikasjoner fra CRIStin - BI
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Unconstrained Cholesky-based parametrization of correlation matrices

van Oest, Rutger Daniel
Journal article, Peer reviewed
Accepted version
Thumbnail
View/Open
Van_Oest_2019.pdf (611.1Kb)
URI
https://hdl.handle.net/11250/2657354
Date
2019
Metadata
Show full item record
Collections
  • Publikasjoner fra CRIStin - BI [633]
  • Scientific articles [1667]
Original version
Communications in statistics. Simulation and computation. 2019   10.1080/03610918.2019.1628271
Abstract
Parameter estimation is relatively complicated for models containing correlation matrices, because the elements of correlation matrices are heavily constrained. We put forward a Cholesky-based parametrization that is easy to implement and allows for unconstrained parameter estimation. To compare the new parametrization with the commonly applied spherical parametrization, we use Monte Carlo simulation in which we estimate multivariate distributions containing Gaussian copulas. We show that the new parametrization performs well, in particular as the dimensionality of the multivariate distribution increases, computing times increase, and non-convergence occurs increasingly often.
Publisher
Taylor and Francis
Journal
Communications in statistics. Simulation and computation

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit
 

 

Browse

ArchiveCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsDocument TypesJournalsThis CollectionBy Issue DateAuthorsTitlesSubjectsDocument TypesJournals

My Account

Login

Statistics

View Usage Statistics

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit