Mohsen Pourahmadi (Texas A&M)

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Mohsen Pourahmadi


A seminar by Mohsen Pourahmadi from Texas A&M University 

Title: Modeling Structured Correlation Matrices

Abstract: There has been a flurry of activity in the last two decades in modeling/ reparametrizing correlation matrices going beyond the familiar Fisher z-transform of a single correlation coefficient. We present an overview of the developments focusing on reparametrizing Cholesky factors of correlation matrices using hyperspherical coordinates where the ensuing angles are meaningful geometrically. In spite of the lack of broadly accepted statistical interpretation, we demonstrate that these angles are quite flexible and effective for parsimonious modeling of large nearly block-structured correlation matrices commonly encountered in finance, environmental and biological sciences. Asymptotic normality of the maximum likelihood estimates of these angles as new parameters is established. Real examples will be used to demonstrate the flexibility and applicability of the methodology. The role of an order among the variables and connection with the recent surge of interest in sparse estimation of directed acyclic graphs (DAG) will be discussed time permitting. (Joint work with Ruey Tsay, U of Chicago)

Start date:

11am Thursday, 29 Aug 2019

End date:

12pm Thursday, 29 Aug 2019




Mohsen Pourahmadi

Updated:   26 August 2019 / Responsible Officer:  CBE Communications and Outreach / Page Contact:  College Web Team