Anders Løland

Anders Løland, Norsk Regnesentral, skal snakke om

Finding a valid matrix of correlations

Abstract

Suppose estimates are available for correlations between pairs of variables, but that the matrix of correlation estimates is negative definite. We present two methods for adjusting the initial estimates to form a proper correlation matrix. The first is based on the maximum likelihood principle and the second is a Bayesian approach. We discuss and illustrate the use of different likelihoods and priors.

 

Published Mar. 29, 2011 8:05 AM - Last modified Apr. 28, 2011 12:37 PM