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• W3112448006 abstract "We introduce a novel parametrization of the correlation matrix. The reparametrization facilitates modeling of correlation and covariance matrices by an unrestricted vector, where positive definiteness is an innate property. This parametrization can be viewed as a generalization of Fisther's Z-transformation to higher dimensions and has a wide range of potential applications. An algorithm for reconstructing the unique n x n correlation matrix from any d-dimensional vector (with d = n(n-1)/2) is provided, and we derive its numerical complexity." @default.
• W3112448006 created "2020-12-21" @default.
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• W3112448006 date "2020-12-04" @default.
• W3112448006 modified "2023-09-23" @default.
• W3112448006 title "A New Parametrization of Correlation Matrices" @default.
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• W3112448006 hasPublicationYear "2020" @default.
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