A Note on Correlation and Rank Reduction
نویسنده
چکیده
We review both full-rank and reduced-rank parameterizations for correlation matrices. In particular, the full-rank parameterizations of Rebonato (1999d) and Schoenmakers and Coffey (2000), the reduced-rank angle parameterization of Rebonato (1999d) and Rebonato and Jäckel (1999), and the well known zeroed-eigenvalues reduced-rank approximation are described in detail. Numerical examples are provided for the reduced-rank parameterizations and results are compared.
منابع مشابه
A note on lifting projections
Suppose $pi:mathcal{A}rightarrow mathcal{B}$ is a surjective unital $ast$-homomorphism between C*-algebras $mathcal{A}$ and $mathcal{B}$, and $0leq aleq1$ with $ain mathcal{A}$. We give a sufficient condition that ensures there is a proection $pin mathcal{A}$ such that $pi left( pright) =pi left( aright) $. An easy consequence is a result of [L. G. Brown and G. k. Pedersen, C*-algebras of real...
متن کاملA Note on Twists of (y^2=x^3+1)
‎‎In the category of Mordell curves (E_D:y^2=x^3+D) with nontrivial torsion groups we find curves of the generic rank two as quadratic twists of (E_1), ‎and of the generic rank at least two and at least three as cubic twists of (E_1). ‎Previous work‎, ‎in the category of Mordell curves with trivial torsion groups‎, ‎has found infinitely many elliptic curves with ...
متن کاملFace Recognition Based Rank Reduction SVD Approach
Standard face recognition algorithms that use standard feature extraction techniques always suffer from image performance degradation. Recently, singular value decomposition and low-rank matrix are applied in many applications,including pattern recognition and feature extraction. The main objective of this research is to design an efficient face recognition approach by combining many tech...
متن کاملسبک رهبری و تعالی سازمان‌های چند وظیفه‌ای (مورد مطالعه: حوزه پژوهشی دانشگاه علوم پزشکی و خدمات بهداشتی درمانی شهید بهشتی)
Abstract Background: Transcendental leadership is a success secret of organizations in performance of the assigned tasks. What leadership style is dominant in multitasking organizations and what leadership style is ideal for increase level of excellence and how and to what extent the mentioned organizations transcend have been less studied. This research was conducted in 2012-2013 considering i...
متن کاملStatistica Sinica 12(2002), 7-29 GENERALIZED ASSOCIATION PLOTS: INFORMATION VISUALIZATION VIA ITERATIVELY GENERATED CORRELATION MATRICES
Given a p-dimensional proximity matrix Dp p, a sequence of correlation matrices, R = (R; R; : : :), is iteratively formed from it. Here R is the correlation matrix of the original proximity matrix D and R is the correlation matrix of R , n > 1. This sequence was rst introduced by McQuitty (1968), Breiger, Boorman and Arabie (1975) developed an algorithm, CONCOR, based on their rediscovery of it...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2002