Correlation matrices of yields and total positivity

DOI10.1016/J.LAA.2006.03.021MaRDI QIDQ855558zbMATH OpenOpenAlexFDO

Authors E. Salinelli, Carlo Sgarra

Publication date 7 December 2006

Published in Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.laa.2006.03.021

zbMATH Keywords

principal component analysiseigenvaluestotal positivitytotally positive matricescorrelation matricesforward rates

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Measures of association (correlation, canonical correlation, etc.) (62H20) Eigenvalues, singular values, and eigenvectors (15A18) Positive matrices and their generalizations; cones of matrices (15B48)

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Cites work

• scientific article; zbMATH DE number 3138903 (Why is no real title available?)
• scientific article; zbMATH DE number 193132 (Why is no real title available?)
• scientific article; zbMATH DE number 1793704 (Why is no real title available?)
• scientific article; zbMATH DE number 3348831 (Why is no real title available?)
• An equilibrium characterization of the term structure
• Bounds for the Greatest Latent Root of a Positive Matrix
• Bounds for the Greatest Latent Roots of a Positive Matrix
• Determinantal criteria for total positivity
• Eigenvalue-eigenvector analysis for a class of patterned correlation matrices with an application
• On the Maximal Eigenvector of a Positive Matrix
• Pricing interest-rate-derivative securities
• Principal component analysis.
• The eigenvalue distribution of oscillatory and strictly sign-regular matrices
• Total positivity and Neville elimination
• Total positivity and the QR algorithm
• Totally positive matrices

Cited in

(7)

• Eigenvalue-eigenvector structure of Schoenmakers-Coffey matrices via Toeplitz technology and applications
• Exploring the total positivity of yields correlations
• The classification of term structure shapes in the two-factor Vasicek model -- a total positivity approach
• Accurate and fast computations with positive extended Schoenmakers-Coffey matrices
• Upper bound for the Lempert function of smooth domains
• Some results on correlation matrices for interest rates
• Shift, slope and curvature for a class of yields correlation matrices

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