%0 Journal Article %1 zhang_sampling_2006 %A Zhang, Xiao %A Boscardin, W. John %A Belin, Thomas R %D 2006 %J Journal of Computational and Graphical Statistics %K Carlo, Markov Monte chain correlations, distribution, multivariate probit %N 4 %P 880--896 %R 10.1198/106186006X160050 %T Sampling correlation matrices in Bayesian models with correlated latent variables %U http://www.tandfonline.com/doi/abs/10.1198/106186006X160050 %V 15 %X Hierarchical model specifications using latent variables are frequently used to reflect correlation structure in data. Motivated by the structure of a Bayesian multivariate probit model, we demonstrate a parameter-extended Metropolis-Hastings algorithm for sampling from the posterior distribution of a correlation matrix. Our sampling algorithms lead directly to two readily interpretable families of prior distributions for a correlation matrix. The methodology is illustrated through a simulation study and through an application with repeated binary outcomes on individuals from a study of a suicide prevention intervention.

@article{zhang_sampling_2006, abstract = {Hierarchical model specifications using latent variables are frequently used to reflect correlation structure in data. Motivated by the structure of a Bayesian multivariate probit model, we demonstrate a parameter-extended Metropolis-Hastings algorithm for sampling from the posterior distribution of a correlation matrix. Our sampling algorithms lead directly to two readily interpretable families of prior distributions for a correlation matrix. The methodology is illustrated through a simulation study and through an application with repeated binary outcomes on individuals from a study of a suicide prevention intervention.}, added-at = {2017-01-09T13:57:26.000+0100}, author = {Zhang, Xiao and Boscardin, W. John and Belin, Thomas R}, biburl = {https://www.bibsonomy.org/bibtex/2748322abf28e550fb441e226c494242f/yourwelcome}, doi = {10.1198/106186006X160050}, interhash = {05e662121c8d6cb8bc498f66be3d8abd}, intrahash = {748322abf28e550fb441e226c494242f}, issn = {1061-8600, 1537-2715}, journal = {Journal of Computational and Graphical Statistics}, keywords = {Carlo, Markov Monte chain correlations, distribution, multivariate probit}, month = dec, number = 4, pages = {880--896}, timestamp = {2017-01-09T14:01:11.000+0100}, title = {Sampling correlation matrices in {Bayesian} models with correlated latent variables}, url = {http://www.tandfonline.com/doi/abs/10.1198/106186006X160050}, urldate = {2012-04-27}, volume = 15, year = 2006 }