A Bayesian dynamic factor model with shrinkage priors achieves posterior contraction for time-varying correlations and introduces a total correlation scalar for dependence.
[2018],Statistical Inference Based on Divergence Measures, Chapman and Hall/CRC
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Modeling Dynamic Correlation Matrices with Shrinkage Priors
A Bayesian dynamic factor model with shrinkage priors achieves posterior contraction for time-varying correlations and introduces a total correlation scalar for dependence.