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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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docs.google.com/spreadsheets/d/1B5eDfd-p_oFWK5FiVvLebyit0ZQTQ6lkjUzbAFYDhUw/edit#gid=0
Link to paper:
sites.google.com/site/peterreinhardhansen/research-papers/anewparametrizationofcorrelationmatrices
Date:
14 June 2019, 14:15
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 Clark
