samperochkin / learning-block-exchangeability

Some code related to our paper Per,Duc,Nes. Detection (2019). The objective is to detect block-exchangeable structures in correlation matrices. For any help, please contact me or leave a comment somewhere. I will be glad to help you.

learning-block-exchangeability

Code related to paper

• Perreault, S., Duchesne, T., & Nešlehová, J. G. (2019). Detection of block-exchangeable structure in large-scale correlation matrices. Journal of Multivariate Analysis, 169, 400-422.

The objective is to detect block-exchangeable structures in correlation matrices. A basic-example.R is provided.

functions

Contains all original functions used for the main simulation study of the paper, as well as updated versions.

sim-stuff

Scripts and objects resulting from the simulation.

application-NASDAQ100

Contains necessary scripts to apply the algorithm when the number of variables is relatively large (on stocks data).