Correlation matrices of yields and total positivity (Q855558)
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scientific article; zbMATH DE number 5078004
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| English | Correlation matrices of yields and total positivity |
scientific article; zbMATH DE number 5078004 |
Statements
Correlation matrices of yields and total positivity (English)
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7 December 2006
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Using some tools originally developed in the framework of totally positive matrices, the relations between the spectral properties of the correlation matrices of forward interest rates and the positivity and the monotonicity of their elements are investigated. In this basis the simplicity of the first two eigenvalues is proved and an estimate of the second one is provided.
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forward rates
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correlation matrices
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principal component analysis
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total positivity
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totally positive matrices
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eigenvalues
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0.8577038645744324
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0.8184366226196289
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0.7901028990745544
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0.7693210244178772
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0.7652965784072876
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