A Short Note on a Flexible Cholesky Parameterization of Correlation Matrices

Sean Pinkney

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arXiv · 2405.07286

A Short Note on a Flexible Cholesky Parameterization of Correlation Matrices

Sean Pinkney

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Abstract

We propose a Cholesky factor parameterization of correlation matrices that facilitates a priori restrictions on the correlation matrix. It is a smooth and differentiable transform that allows additional boundary constraints on the correlation values. Our particular motivation is random sampling under positivity constraints on the space of correlation matrices using MCMC methods.

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Sean Pinkney. 2024-05-12. A Short Note on a Flexible Cholesky Parameterization of Correlation Matrices. https://arxiv.org/abs/2405.07286

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