On generating correlated random variables with a given valid or invalid Correlation matrix
Year of publication: |
2004-08-02
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Authors: | Mishra, SK |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Positive semidefinite | negative definite | maximum norm | frobenius norm | correlated random variables | intercorrelation matrix | correlation matrix | Monte Carlo experiment | multicollinearity | cointegration | computer program | multivariate analysis | simulation | generation of collinear sample data |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Classification: | C63 - Computational Techniques ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C87 - Econometric Software ; C65 - Miscellaneous Mathematical Tools ; C88 - Other Computer Software ; C82 - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data |
Source: |
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Optimal solution of the nearest correlation matrix problem by minimization of the maximum norm
Mishra, SK, (2004)
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Mishra, SK, (2007)
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Mishra, SK, (2007)
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On construction of robust composite indices by linear aggregation
Mishra, SK, (2008)
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Mishra, SK, (2006)
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Mishra, SK, (2006)
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