Approximations to the distribution of the sample correlation matrix
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- Tönu Kollo & Dietrich Rosen, 1995. "Approximating by the Wishart distribution," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 47(4), pages 767-783, December.
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- Boik, Robert J., 1998. "A Local Parameterization of Orthogonal and Semi-Orthogonal Matrices with Applications," Journal of Multivariate Analysis, Elsevier, vol. 67(2), pages 244-276, November.
- Kollo, T. & Neudecker, H., 1993. "Asymptotics of Eigenvalues and Unit-Length Eigenvectors of Sample Variance and Correlation Matrices," Journal of Multivariate Analysis, Elsevier, vol. 47(2), pages 283-300, November.
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- Stephan Süss, 2012. "The pricing of idiosyncratic risk: evidence from the implied volatility distribution," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(2), pages 247-267, June.
- Di Nardo, Elvira, 2014. "On a symbolic representation of non-central Wishart random matrices with applications," Journal of Multivariate Analysis, Elsevier, vol. 125(C), pages 121-135.
- Ogasawara, Haruhiko, 2006. "Asymptotic expansion of the sample correlation coefficient under nonnormality," Computational Statistics & Data Analysis, Elsevier, vol. 50(4), pages 891-910, February.
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Keywords
Multivariate cumulants Multivariate Taylor expansion Matrix derivative Characteristic function of random matrix Multivariate density approximation;Statistics
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