Preprint
Jul 2026
Informative Distance-Based Priors for Correlation Matrices Centred on a Target Reference
A distance-based prior is proposed that assigns mass decaying exponentially in the Fisher arc-length distance from a user-specified reference correlation matrix, enabling shrinkage toward any target correlation structure rather than being confined to the identity matrix.
A. Freni-Sterrantino, J. van Niekerk, E. Krainski et al.
· 2 citations