The asymptotic distribution of the determinant of a random correlation matrix

Hanea, A.M.; Nane, G.F.

The asymptotic distribution of the determinant of a random correlation matrix

Journal article (2018)

Authors

A.M. Hanea Applied Probability - , University of Melbourne

G.F. Nane Applied Probability -

Research Group

Applied Probability () (TU Delft)

Beta distribution Determinant Random correlation matrix Random matrix Regular vines

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Published Date

2018

Language

English

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Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Delft Institute of Applied Mathematics

Research Group

Applied Probability

Abstract

Our main result gives the asymptotic distribution of the determinant of a random correlation matrix sampled in a particular way from the space of d×d correlation matrices. Several spin-off results are proven along the way, and an interesting connection with the law of the determinant of general random matrices is investigated. As different methods for generating random correlation matrices are proposed in the literature, one application of our result is that in can be employed to differentiate between those methods.

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