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

Author

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  • Kotz, Samuel
  • Pearn, W. L.
  • Wichern, Dean W.

Abstract

General forms for the eigenvalues and eigenvectors of certain patterned correlation matrices are obtained. The pattern considered is one in which the correlation matrix consists of submatrices containing powers of a single correlation coefficient p. The results are discussed in the context of a principal component analysis (or a factor analysis) of observations on a random vector X.

Suggested Citation

  • Kotz, Samuel & Pearn, W. L. & Wichern, Dean W., 1984. "Eigenvalue-eigenvector analysis for a class of patterned correlation matrices with an application," Statistics & Probability Letters, Elsevier, vol. 2(3), pages 119-125, May.
    • Handle: RePEc:eee:stapro:v:2:y:1984:i:3:p:119-125
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    Cited by:

    1. Ernesto Salinelli & Carlo Sgarra, 2005. "Correlation Matrices of yields and Total Positivity," Working Papers 109, SEMEQ Department - Faculty of Economics - University of Eastern Piedmont.
    2. Badi H. Baltagi, 1987. "On Estimating from a More General Time-Series Cum Cross-Section Data Structure," The American Economist, Sage Publications, vol. 31(2), pages 69-71, October.

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