A New Algorithm for Simulating a Correlation Matrix Based on Parameter Expansion and Re-parameterization ∗

@inproceedings{LiuANA,
  title={A New Algorithm for Simulating a Correlation Matrix Based on Parameter Expansion and Re-parameterization ∗},
  author={Xuefeng Liu and M. J. Daniels}
}
The correlation matrix (denoted by R) plays an important role in many statistical models. Unfortunately, sampling the correlation matrix in MCMC algorithms can be problematic. In addition to the positive definite constraint of covariance matrices, it has diagonal elements fixed at 1. In this paper, we propose an efficient two-stage parameter expanded re-parameterization and Metropolis-Hastings (PX-RPMH) algorithm for simulating R. The theory of the PXRPMH algorithm and sufficient conditions to… CONTINUE READING
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