Shift, slope and curvature for a class of yields correlation matrices

DOI10.1016/j.laa.2007.05.041zbMath1131.15023OpenAlexW2111047780MaRDI QIDQ996318

Carlo Sgarra, Ernesto Salinelli

Publication date: 14 September 2007

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

Full work available at URL: https://doi.org/10.1016/j.laa.2007.05.041

zbMATH Keywords

eigenvectorprincipal component analysiscurvatureshifttotal positivitycorrelation matrixyield curvepositive matrixexponential modelslopesign variation

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Eigenvalues, singular values, and eigenvectors (15A18) Positive matrices and their generalizations; cones of matrices (15B48)

Related Items (4)

Accurate and fast computations with positive extended Schoenmakers-Coffey matrices ⋮ Some results on correlation matrices for interest rates ⋮ Eigenvalue-eigenvector structure of Schoenmakers-Coffey matrices via Toeplitz technology and applications ⋮ Exploring the total positivity of yields correlations

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