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Rank reduction of correlation matrices by majorization - MaRDI portal

Rank reduction of correlation matrices by majorization (Q4610275)

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scientific article; zbMATH DE number 7002165
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English
Rank reduction of correlation matrices by majorization
scientific article; zbMATH DE number 7002165

    Statements

    title
    Rank reduction of correlation matrices by majorization (English)
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    author
    Raoul Pietersz
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    Patrick J. F. Groenen
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    publication date
    15 January 2019
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    zbMATH Keywords
    rank
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    correlation matrix
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    majorization
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    lognormal price processes
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G30
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    62P05
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    91-04
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    zbMATH DE Number
    7002165
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    OpenAlex ID
    W3023814688
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