Numerically stable generation of correlation matrices and their factors (Q1592689)
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scientific article; zbMATH DE number 1556486
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| English | Numerically stable generation of correlation matrices and their factors |
scientific article; zbMATH DE number 1556486 |
Statements
Numerically stable generation of correlation matrices and their factors (English)
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25 September 2001
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random correlation matrix
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Bendel-Mickey algorithm
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singular value decomposition
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Jacobi method
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eigenvalues
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numerical examples
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numerical stability
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Givens rotations
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0.8501625061035156
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0.8223356604576111
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0.8119761943817139
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0.806342363357544
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0.7937564253807068
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