Eigenvalue-eigenvector analysis for a class of patterned correlation matrices with an application

DOI10.1016/0167-7152(84)90001-4MaRDI QIDQ796223zbMATH OpenOpenAlexFDO

Authors Samuel Kotz, Dean W. Wichern, Wen Lea Pearn

Publication date 1984

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(84)90001-4

zbMATH Keywords

patterned correlation matrices

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Eigenvalues, singular values, and eigenvectors (15A18)

Recommendations

• On an eigenvalue property relevant in correspondence analysis and related methods
• Pattern correlation matrices and their properties
• Properties of eigenvalues and eigenvectors of large-dimensional sample correlation matrices
• A complementary proof of an eigenvalue property in correspondence analysis
• A note on patterned matrices with applications in multivariate analysis
• Eigenvalue distributions for some correlated complex sample covariance matrices
• The eigenvalue spectrum of lagged correlation matrices
• scientific article; zbMATH DE number 977881

Cites work

• scientific article; zbMATH DE number 3787821 (Why is no real title available?)
• Relative efficiencies of estimates using patterned covariances or correlations in the multivariate normal estimation problem

Cited in

(7)

• Correlation matrices of yields and total positivity
• Shift, slope and curvature for a class of yields correlation matrices
• An eigenvector pattern arising in nonlinear regression
• Generalized dispersion matrices for covariance structural analysis
• Cluster structure in the correlation coefficient matrix can be characterized by abnormal eigenvalues
• Matrix patterns for eigenvalue—eigenvector Adjustment
• Some results on correlation matrices for interest rates

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