Eigenvalue-eigenvector analysis for a class of patterned correlation matrices with an application

DOI10.1016/0167-7152(84)90001-4zbMath0543.62048OpenAlexW2095147650MaRDI QIDQ796223

Dean W. Wichern, Samuel Kotz, Wen Lea Pearn

Publication date: 1984

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(84)90001-4

zbMATH Keywords

patterned correlation matrices

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Eigenvalues, singular values, and eigenvectors (15A18)

Related Items (4)

Correlation matrices of yields and total positivity ⋮ Generalized dispersion matrices for covariance structural analysis ⋮ Some results on correlation matrices for interest rates ⋮ Shift, slope and curvature for a class of yields correlation matrices

Cites Work

• Relative efficiencies of estimates using patterned covariances or correlations in the multivariate normal estimation problem
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