Name
Abstract | ||
|---|---|---|
Schoenmakers-Coffey matrices are correlation matrices with important financial applications. Several characterizations of positive extended Schoenmakers-Coffey matrices are presented. This paper provides an accurate and fast method to obtain the bidiagonal decomposition of the conversion of these matrices, which in turn can be used to compute with high relative accuracy the eigenvalues and inverses of positive extended Schoenmakers-Coffey matrices. Numerical examples are included. |
Year | DOI | Venue |
|---|---|---|
2016 | 10.1002/nla.2066 | NUMERICAL LINEAR ALGEBRA WITH APPLICATIONS |
Keywords | Field | DocType |
accurate computations,bidiagonal factorization,Green matrix,Lehmer matrix,Schoenmakers-Coffey matrix,total positivity | Applied mathematics,Matrix analysis,Algebra,Mathematical analysis,Matrix (mathematics),Lehmer matrix,Integer matrix,Matrix multiplication,Mathematics,Eigenvalues and eigenvectors,Computation | Journal |
Volume | Issue | ISSN |
23.0 | 6.0 | 1070-5325 |
Citations | PageRank | References |
0 | 0.34 | 0 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| J. Delgado | 1 | 107 | 17.39 |
| Guillermo Peña | 2 | 0 | 0.34 |
| J. M. Peña | 3 | 681 | 72.88 |