A New Method for Generating Random Correlation Matrices
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- Ilya Archakov & Peter Reinhard Hansen & Yiyao Luo, 2024. "A new method for generating random correlation matrices," The Econometrics Journal, Royal Economic Society, vol. 27(2), pages 188-212.
References listed on IDEAS
- Ilya Archakov & Peter Reinhard Hansen, 2021.
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- Ilya Archakov & Peter Reinhard Hansen, 2020. "A New Parametrization of Correlation Matrices," Papers 2012.02395, arXiv.org.
- Joe, Harry, 2006. "Generating random correlation matrices based on partial correlations," Journal of Multivariate Analysis, Elsevier, vol. 97(10), pages 2177-2189, November.
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- Barndorff-Nielsen, O. & Schou, G., 1973. "On the parametrization of autoregressive models by partial autocorrelations," Journal of Multivariate Analysis, Elsevier, vol. 3(4), pages 408-419, December.
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This paper has been announced in the following NEP Reports:- NEP-ECM-2022-11-21 (Econometrics)
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