Numerically stable generation of correlation matrices and their factors
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Publication:1592689
DOI10.1023/A:1022384216930zbMath0969.65036WikidataQ56998871 ScholiaQ56998871MaRDI QIDQ1592689
Philip I. Davies, Nicholas J. Higham
Publication date: 25 September 2001
Published in: BIT (Search for Journal in Brave)
numerical examplessingular value decompositioneigenvaluesnumerical stabilityJacobi methodGivens rotationsBendel-Mickey algorithmrandom correlation matrix
Measures of association (correlation, canonical correlation, etc.) (62H20) Numerical solutions to overdetermined systems, pseudoinverses (65F20) Orthogonalization in numerical linear algebra (65F25)
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