Correlation matrices of yields and total positivity

DOI10.1016/j.laa.2006.03.021zbMath1110.15017OpenAlexW2014964738MaRDI QIDQ855558

Ernesto Salinelli, Carlo Sgarra

Publication date: 7 December 2006

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

Full work available at URL: https://doi.org/10.1016/j.laa.2006.03.021

zbMATH Keywords

eigenvaluesprincipal component analysistotal positivitytotally positive matricescorrelation matricesforward rates

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Measures of association (correlation, canonical correlation, etc.) (62H20) Eigenvalues, singular values, and eigenvectors (15A18) Positive matrices and their generalizations; cones of matrices (15B48)

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Accurate and fast computations with positive extended Schoenmakers-Coffey matrices ⋮ Some results on correlation matrices for interest rates ⋮ THE CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL — A TOTAL POSITIVITY APPROACH ⋮ Shift, slope and curvature for a class of yields correlation matrices ⋮ Eigenvalue-eigenvector structure of Schoenmakers-Coffey matrices via Toeplitz technology and applications ⋮ Exploring the total positivity of yields correlations

Cites Work

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• On the Maximal Eigenvector of a Positive Matrix
• Bounds for the Greatest Latent Roots of a Positive Matrix
• Bounds for the Greatest Latent Root of a Positive Matrix
• Totally positive matrices
• Determinantal criteria for total positivity

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