3 citations · 5 across the 3 of their papers we have counts for
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econ.EM2023
Characterizing Correlation Matrices that Admit a Clustered Factor Representation
Chen Tong, Peter Reinhard Hansen
The Clustered Factor (CF) model induces a block structure on the correlation matrix and is commonly used to parameterize correlation matrices. Our results reveal that the CF model…
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…