Random orthogonal matrix simulation

DOI10.1016/j.laa.2010.10.023zbMath1217.65021OpenAlexW2068177394MaRDI QIDQ627948

Walter Ledermann, Daniel Ledermann, Carol Alexander

Publication date: 4 March 2011

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.laa.2010.10.023

zbMATH Keywords

Monte Carlo methodsrandom matrixvalue-at-riskrandom orthogonal matricesvolatility clusteringcovariances\(L\) matricesLedermann matrixmultivariate momentsROM simulationstock portfolio

Mathematics Subject Classification ID

Related Items (10)

Monte Carlo approximate tensor moment simulations ⋮ Random orthogonal matrix simulation with exact means, covariances, and multivariate skewness ⋮ Further properties of random orthogonal matrix simulation ⋮ Higher order sigma point filter: a new heuristic for nonlinear time series filtering ⋮ Generalized Helmert-Ledermann orthogonal matrices and ROM simulation ⋮ No-arbitrage ROM simulation ⋮ Targeting Kollo skewness with random orthogonal matrix simulation ⋮ On Mardia skewness and kurtosis of Soules basis matrices in ROM simulation ⋮ A sigma point-based resampling algorithm in particle filter ⋮ No-arbitrage bounds for financial scenarios

Uses Software

• mctoolbox

Cites Work

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• Multivariate skewness and kurtosis measures with an application in ICA
• Shortcomings of generalized affine invariant skewness measures
• A new moment matching algorithm for sampling from partially specified symmetric distributions
• A unitary Hessenberg \(QR\)-based algorithm via semiseparable matrices
• Computation of Plain Unitary Rotations Transforming a General Matrix to Triangular Form
• A Method to Generate Multivariate Data with the Desired Moments
• The statistical analysis of shape data
• Shape analysis of paired landmark data
• Measures of multivariate skewness and kurtosis with applications
• Unitary Triangularization of a Nonsymmetric Matrix
• The Helmert Matrices

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