Correlation matrices with average constraints

Jan Tuitman, Steven Vanduffel, Jing Yao

Research output: Contribution to journalArticle

Abstract

We develop an algorithm that makes it possible to generate all correlation matrices satisfying a constraint on their average value. We extend the results to the case of multiple constraints. These results can be used to assess the extent to which methodologies driven by correlation matrices are robust to misspecification thereof.
Original languageEnglish
Article number108868
JournalStatistics and Probability Letters
Volume165
Early online date7 Jul 2020
DOIs
Publication statusPublished - Oct 2020

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