Numerical Analysis of a Correlation Matrix

DOI10.1080/02331889708802595zbMath0874.62065OpenAlexW2015911309MaRDI QIDQ4351767

Thierry Foucart

Publication date: 9 November 1997

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331889708802595

zbMATH Keywords

inner productcollinearitySchwarz's inequalityCholesky's factorizationsymmetric definite positive matrix

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Measures of association (correlation, canonical correlation, etc.) (62H20) Factorization of matrices (15A23) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

• The Cholesky Factorization of the Inverse Correlation or Covariance Matrix in Multiple Regression
• Applied regression analysis bibliography update 1992–93
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
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