Further properties of random orthogonal matrix simulation

DOI10.1016/j.matcom.2012.07.013zbMath1258.65037OpenAlexW1970726342MaRDI QIDQ1942732

Daniel Ledermann, Carol Alexander

Publication date: 13 March 2013

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2012.07.013

zbMATH Keywords

simulationcomputational efficiencyrotation matrix\(L\) matrixrandom orthogonal matrix (ROM)

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to linear algebra (15-04) Orthogonalization in numerical linear algebra (65F25) Software, source code, etc. for problems pertaining to numerical analysis (65-04) Numerical computation of matrix exponential and similar matrix functions (65F60)

Related Items

Random orthogonal matrix simulation with exact means, covariances, and multivariate skewness ⋮ Generalized Helmert-Ledermann orthogonal matrices and ROM simulation ⋮ No-arbitrage ROM simulation ⋮ Targeting Kollo skewness with random orthogonal matrix simulation

Uses Software

• mctoolbox
• MATLAB expm
• k.c

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