Unconstrained representation of orthogonal matrices with application to common principal components
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DOI: 10.1007/s00180-020-01041-8
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References listed on IDEAS
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- Punzo, Antonio & Bagnato, Luca, 2022. "Dimension-wise scaled normal mixtures with application to finance and biometry," Journal of Multivariate Analysis, Elsevier, vol. 191(C).
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Keywords
Orthogonal matrix; LU decomposition; QR decomposition; Common principal components; FG algorithm; Leptokurtic-normal distribution;All these keywords.
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