The asymptotic distribution of the determinant of a random correlation matrix

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The asymptotic distribution of the determinant of a random correlation matrix

Journal Article (2018)

Author(s)

A.M. Hanea (University of Melbourne, TU Delft - Applied Probability)

G.F. Nane (TU Delft - Applied Probability)

Research Group

Applied Probability

Beta distribution Determinant Random correlation matrix Random matrix Regular vines

DOI related publication

https://doi.org/10.1111/stan.12113 Final published version

To reference this document use

https://resolver.tudelft.nl/uuid:12986011-547a-4cfd-b3b7-9ae91d8734ef

More Info

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Publication Year

2018

Language

English

Research Group

Applied Probability

Journal title

Statistica Neerlandica

Issue number

1

Volume number

72

Pages (from-to)

14-33

Downloads counter

196

Abstract

Our main result gives the asymptotic distribution of the determinant of a random correlation matrix sampled in a particular way from the space of d×d correlation matrices. Several spin-off results are proven along the way, and an interesting connection with the law of the determinant of general random matrices is investigated. As different methods for generating random correlation matrices are proposed in the literature, one application of our result is that in can be employed to differentiate between those methods.