Download This PaperCorrelation Matrices with Average Constraints
13 Pages Posted: 26 Feb 2020 Last revised: 2 Jul 2020
Date Written: January 24, 2020
Abstract
We develop an algorithm that makes it possible to generate all correlation matrices satisfying a constraint on their average value. We extend the results to the case of multiple constraints. These results can be used to assess the extent to which methodologies driven by correlation matrices are robust to misspecifi cation thereof.
Keywords: Simulation, random correlation matrices, dependence, multivariate normal
JEL Classification: C02,C63
Suggested Citation: Suggested Citation
Tuitman, Jan and Vanduffel, Steven and Yao, Jing, Correlation Matrices with Average Constraints (January 24, 2020). Available at SSRN: https://ssrn.com/abstract=3524835 or http://dx.doi.org/10.2139/ssrn.3524835
Steven Vanduffel (Contact Author)
Vrije Universiteit Brussel (VUB) ( email )
Pleinlaan 2
Brussels, Brabant 1050
Belgium
HOME PAGE: http://www.stevenvanduffel.com
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