3 citations · 3 across the 1 of their papers we have counts for
2 papers
econ.EM2022★ 3 cited
A New Method for Generating Random Correlation Matrices
Ilya Archakov, Peter Reinhard Hansen, Yiyao Luo
We propose a new method for generating random correlation matrices that makes it simple to control both location and dispersion. The method is based on a vector parameterization, g…
econ.EM2020
A New Parametrization of Correlation Matrices
Ilya Archakov, Peter Reinhard Hansen
We introduce a novel parametrization of the correlation matrix. The reparametrization facilitates modeling of correlation and covariance matrices by an unrestricted vector, where p…