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Register a new userOn equivalence of the LKJ distribution and the restricted Wishart distribution
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Added by
Zhenxun Wang
Publication date
2018
fields
Mathematical Statistics
and research's language is
English
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In this paper, we want to show the Restricted Wishart distribution is equivalent to the LKJ distribution, which is one way to specify a uniform distribution from the space of positive definite correlation matrices. Based on this theorem, we propose a new method to generate random correlation matrices from the LKJ distribution. This new method is faster than the original onion method for generating random matrices, especially in the low dimension ($T<120$) situation.
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