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Flexible Bayesian Dynamic Modeling of Correlation and Covariance Matrices
Modeling correlation (and covariance) matrices can be challenging due to the positive-definiteness constraint and potential high-dimensionality. Our approach is to decompose the covariance matrix into the correlation and variance matrices and propose a novel Bayesian framework based on modeling the...
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| Udgivet i: | Bayesian Anal |
|---|---|
| Main Authors: | , , , , , |
| Format: | Artigo |
| Sprog: | Inglês |
| Udgivet: |
2019
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| Fag: | |
| Online adgang: | https://ncbi.nlm.nih.gov/pmc/articles/PMC8048134/ https://ncbi.nlm.nih.gov/pubmed/33868547 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1214/19-ba1173 |
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