mlsanityData to 14 Oct 2026

A New Parametrization of Correlation Matrices

arXiv 2012.02395 ↗First posted 4 Dec 2020econ.EM q-fin.ST stat.COcited by 9

Not on the map. Why?

Abstract (arXiv)

We introduce a novel parametrization of the correlation matrix. The reparametrization facilitates modeling of correlation and covariance matrices by an unrestricted vector, where positive definiteness is an innate property. This parametrization can be viewed as a generalization of Fisther's Z-transformation to higher dimensions and has a wide range of potential applications. An algorithm for reconstructing the unique n x n correlation matrix from any d-dimensional vector (with d = n(n-1)/2) is provided, and we derive its numerical complexity.

Key facts. Cited by 9 papers in the map (data through 14 Oct 2026). First posted on arXiv 4 Dec 2020.

Builds on

No reference list yet.

Built on by

Cited by year (2026 to 14 Oct)

Citing papers per year: 2021: 1; 2022: 0; 2023: 1; 2024: 0; 2025: 1; 2026: 6.

9 papers.