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

Numerical methods (including Monte Carlo methods) (91G60) Sampling theory, sample surveys (62D05) Monte Carlo methods (65C05) Random matrices (algebraic aspects) (15B52) Analysis of variance and covariance (ANOVA) (62J10) Portfolio theory (91G10)

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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• A parallel algorithm for the reduction of a nonsymmetric matrix to block upper-Hessenberg form
• 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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