Parsimonious parameterization of correlation matrices using truncated vines and factor analysis

Computational Statistics and Data Analysis

Volumn 77, Issue , 2014, Pages 233-251

  Brechmann, Eike C ^a   Joe, Harry ^b  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

^b UNIVERSITY OF BRITISH COLUMBIA   (Canada)

Author keywords

EM algorithm; Markov trees; Multivariate normal; Partial correlations; Regular vines

Indexed keywords

ALGORITHMS; FACTOR ANALYSIS; MULTIVARIANT ANALYSIS; NORMAL DISTRIBUTION;

EM ALGORITHMS; MARKOV TREES; MULTIVARIATE NORMAL; PARTIAL CORRELATION; REGULAR VINES;

PARAMETERIZATION;

EID: 84901923015     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2014.03.002     Document Type: Article

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