The nonparanormal model assumes that variables follow a multivariate normal distribution after a set of unknown monotone increasing transformations. It is a flexible generalization of the normal model ...

A few years have passed since we last published these asset class correlation matrices, but they're always interesting to take a look at. For reference, a correlation coefficient of 1 means the two ...

In statistical analysis of functional magnetic resonance imaging (fMRI), dealing with the temporal correlation is a major challenge in assessing changes within voxels. This paper aims to address this ...

Harry Markowitz famously quipped that diversification is the only free lunch in investing. What he did not say is that this is only true if correlations are known and stable over time. Markowitz’s ...