Spectral models for covariance matrices
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- Daniels, Michael J., 2006. "Bayesian modeling of several covariance matrices and some results on propriety of the posterior for linear regression with correlated and/or heterogeneous errors," Journal of Multivariate Analysis, Elsevier, vol. 97(5), pages 1185-1207, May.
- Pourahmadi, Mohsen & Daniels, Michael J. & Park, Trevor, 2007. "Simultaneous modelling of the Cholesky decomposition of several covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 98(3), pages 568-587, March.
- Boik, Robert J., 2013. "Model-based principal components of correlation matrices," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 310-331.
- Juneja, Januj, 2012. "Common factors, principal components analysis, and the term structure of interest rates," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 48-56.
- Boik, Robert J., 2005. "Second-order accurate inference on eigenvalues of covariance and correlation matrices," Journal of Multivariate Analysis, Elsevier, vol. 96(1), pages 136-171, September.
- Peter D. Hoff, 2009. "A hierarchical eigenmodel for pooled covariance estimation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(5), pages 971-992.
- Marc Hallin & Davy Paindaveine & Thomas Verdebout, 2011. "Optimal Rank-Based Tests for Common Principal Components," Working Papers ECARES ECARES 2011-032, ULB -- Universite Libre de Bruxelles.
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