We study the large-sample joint distribution of Z, the 1/2p(p - 1) Fisher z-transforms of the elements in a p variable correlation matrix. Under the null hypothesis of equal population correlations ...

Suppose estimates are available for correlations between pairs of variables but that the matrix of correlation estimates is not positive definite. In various applications, having a valid correlation ...

Click here for guidelines on the submission of technical articles. Monte Carlo simulations for pricing are ubiquitous in finance, particularly for credit valuation adjustments, which are carried out ...

A few years have passed since we last published these asset class correlation matrices, but they're always interesting to take a look at. For reference, a correlation coefficient of 1 means the two ...

Harry Markowitz famously quipped that diversification is the only free lunch in investing. What he did not say is that this is only true if correlations are known and stable over time. Markowitz’s ...

X ij = [x ij1, ... , x ijp]' The Generalized Estimating Equation of Liang and Zeger (1986) for estimating the p ×1 vector of regression parameters is an extension of the independence estimating ...

Mathematical visualizations, or matrices, of the correlations of neural activity in the same mouse during each of the two tasks. Top left: Matrix sorted so that neurons with similar patterns of ...