Generating random correlation matrices based on vines and extended onion method

Journal of Multivariate Analysis

Volumn 100, Issue 9, 2009, Pages 1989-2001

  Lewandowski, Daniel ^a   Kurowicka, Dorota ^a   Joe, Harry ^b  

^a DELFT UNIVERSITY OF TECHNOLOGY   (Netherlands)

^b UNIVERSITY OF BRITISH COLUMBIA   (Canada)

Author keywords

Correlation matrix; Dependence vines; Onion method; Partial correlation

Indexed keywords

EID: 68949200946     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2009.04.008     Document Type: Article

References (9)

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