A New Parametrization of Correlation Matrices

S-Tier
Journal: Econometrica
Year: 2021
Volume: 89
Issue: 4
Pages: 1699-1715

Score contribution per author:

4.022 = (α=2.01 / 2 authors) × 4.0x S-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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 Fisher's Z‐transformation to higher dimensions and has a wide range of potential applications. An algorithm for reconstructing the unique n × n correlation matrix from any vector in Rn(n−1)/2 is provided, and we derive its numerical complexity.

Technical Details

RePEc Handle
repec:wly:emetrp:v:89:y:2021:i:4:p:1699-1715
Journal Field
General
Author Count
2
Added to Database
2026-01-24