Correlation matrices of yields and total positivity

DOI10.1016/j.laa.2006.03.021zbMath1110.15017MaRDI QIDQ855558

Carlo Sgarra, Ernesto Salinelli

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

eigenvalues; principal component analysis; total positivity; totally positive matrices; correlation matrices; forward rates

Mathematics Subject Classification ID

62H25: Factor analysis and principal components; correspondence analysis

62H20: Measures of association (correlation, canonical correlation, etc.)

15A18: Eigenvalues, singular values, and eigenvectors

15B48: Positive matrices and their generalizations; cones of matrices

Related Items

Shift, slope and curvature for a class of yields correlation matrices

Cites Work

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