Generating Correlation Matrices Based on the Boundaries of Their Coefficients 英文参考文献.docVIP

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Generating Correlation Matrices Based on the Boundaries of Their Coefficients 英文参考文献.doc

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Generating Correlation Matrices Based on the Boundaries of Their Coefficients 英文参考文献

GeneratingCorrelationMatricesBasedonthe BoundariesofTheirCoefficients KaweeNumpacharoen1,2*,AmpornAtsawarungruangkit3 1Financial Product Development, Kasikorn Securities, Bangkok, Thailand, 2Department of Mathematics, Faculty of Science, Mahidol University, Bangkok, Thailand, 3CollegeofMedicine,RangsitUniversity,Bangkok,Thailand Abstract Correlation coefficients among multiple variables are commonly described in the form of matrices. Applications of such correlationmatricescanbefoundinmanyfields,suchasfinance,engineering,statistics,andmedicine.Thisarticleproposes an efficient way to sequentially obtain the theoretical bounds of correlation coefficients together with an algorithm to generaten|ncorrelationmatricesusinganyboundedrandomvariables.Interestingly,thecorrelationmatricesgenerated bythismethodusinguniformrandomvariablesasanexampleproducemoreextremerelationshipsamongthevariables thanothermethods,whichmightbeusefulformodelingcomplexbiologicalsystemswhererarecasesareveryimportant. Citation:NumpacharoenK,AtsawarungruangkitA(2012)GeneratingCorrelationMatricesBasedontheBoundariesofTheirCoefficients.PLoSONE7(11):e48902. doi:10.1371/journal.pone.0048902 Editor:EnricoScalas,Universita` delPiemonteOrientale,Italy ReceivedAugust27,2012;AcceptedOctober1,2012;PublishedNovember12,2012 Copyright: ? 2012 Numpacharoen, Atsawarungruangkit. This is an open-access article distributed under the terms of the Creative Commons Attribution License,whichpermitsunrestricteduse,distribution,andreproductioninanymedium,providedtheoriginalauthorandsourcearecredited. Funding:Theauthorshavenosupportorfundingtoreport. CompetingInterests:Oneoftheauthors(KN)isapaidemployeewithKasikornSecurities.Thisdoesnotaltertheauthors’adherencetothePLOSONEpolicies onsharingdataandmaterials. *E-mail:kawee.num@student.mahidol.ac.th Introduction classified, based on the relevant objectives or constraints, as follows: Many important properties of financial models, engineering problems,andbiologicalsystemscanbe