2 papers
stat.CO2018
A fast Metropolis-Hastings method for generating random correlation matrices
Irene Córdoba, Gherardo Varando, Concha Bielza +1
We propose a novel Metropolis-Hastings algorithm to sample uniformly from the space of correlation matrices. Existing methods in the literature are based on elaborated representati…
stat.ME2018
A partial orthogonalization method for simulating covariance and concentration graph matrices
Irene Córdoba, Gherardo Varando, Concha Bielza +1
Structure learning methods for covariance and concentration graphs are often validated on synthetic models, usually obtained by randomly generating: (i) an undirected graph, and (i…