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Correlation matrices with average constraints. (English) Zbl 1450.62058

Summary: We develop an algorithm that makes it possible to generate all correlation matrices satisfying a constraint on their average value. We extend the results to the case of multiple constraints. These results can be used to assess the extent to which methodologies driven by correlation matrices are robust to misspecification thereof.

MSC:

62H20 Measures of association (correlation, canonical correlation, etc.)
62G35 Nonparametric robustness
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References:

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