Archakov, Ilya; Hansen, Peter Reinhard - In: Econometrica 89 (2021) 4, pp. 1699-1715
We introduce a novel parametrization of the correlation matrix. The reparametrization facilitates modeling of correlation and covariance matrices by an unrestricted vector, where positive definiteness is an innate property. This parametrization can be viewed as a generalization of Fisher's
...