The asymptotic distribution of the determinant of a random correlation matrix

A.M. Hanea, G.F. Nane

Research output: Contribution to journalArticleScientificpeer-review

2 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)14-33
Number of pages20
JournalStatistica Neerlandica
Volume72
Issue number1
DOIs
Publication statusPublished - 2018

Keywords

  • beta distribution
  • determinant
  • random correlation matrix
  • random matrix
  • regular vines

Fingerprint Dive into the research topics of 'The asymptotic distribution of the determinant of a random correlation matrix'. Together they form a unique fingerprint.

Cite this