A New Parametrization of Correlation Matrices
For the modeling of covariance matrices, the literature has proposed a variety of methods to enforce the positive (semi) definiteness. In this paper, we propose a method that is based on a novel parametrization of the correlation matrix, specifically the off-diagonal elements of the matrix logarithmic transformed correlations. This parametrization has many attractive properties, a wide range of applications, and may be viewed as a multivariate generalization of Fisher’s Z-transformation of a single correlation.

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Link to paper:
Date: 14 June 2019, 14:15 (Friday, 7th week, Trinity 2019)
Venue: Manor Road Building, Manor Road OX1 3UQ
Venue Details: Seminar room C
Speaker: Peter Hansen (University of North Carolina at Chapel Hill)
Organising department: Department of Economics
Part of: Nuffield Econometrics Seminar
Booking required?: Not required
Audience: Members of the University only
Editor: Melis Boya