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stat.CO2024★ 1 cited
A Short Note on a Flexible Cholesky Parameterization of Correlation Matrices
Sean Pinkney
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…
stat.CO2019
Generating Random Samples from Non-Identical Truncated Order Statistics
Tyler Morrison, Sean Pinkney
We provide an efficient algorithm to generate random samples from the bounded kth order statistic in a sample of independent, but not necessarily identically distributed, random va…