On the condition number anomaly of Gaussian correlation matrices
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Publication:472459
DOI10.1016/j.laa.2014.10.038zbMath1303.15006MaRDI QIDQ472459
Publication date: 19 November 2014
Published in: Linear Algebra and its Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.laa.2014.10.038
Gaussian process; condition number; radial basis functions; numerical experiment; spatial linear model; data assimilation; correlation matrix; Kriging; Euclidean distance matrix; design and analysis of computer experiments; interpolation matrices
62H20: Measures of association (correlation, canonical correlation, etc.)
65F35: Numerical computation of matrix norms, conditioning, scaling
15A12: Conditioning of matrices