Correlation matrices of yields and total positivity
Copyright policy )Correlation matrices of yields and total positivity
Using some tools originally developed in the framework of totally positive matrices, the relations between the spectral properties of the correlation matrices of forward interest rates and the positivity and the monotonicity of their elements are investigated. In this basis the simplicity of the first two eigenvalues is proved and an estimate of the second one is provided.
Forward rates, Correlation matrices, Principal Component Analysis, Total Positivity, Eigenvalues, singular values, and eigenvectors, Correlation matrices, principal component analysis, Principal component analysis, Principal component analysi, Forward rate, Finance etc., 510, Total positivity, Positive matrices and their generalizations; cones of matrices, Discrete Mathematics and Combinatorics, correlation matrices, Numerical Analysis, Correlation matrice, Algebra and Number Theory, Measures of association (correlation, canonical correlation, etc.), eigenvalues, forward rates, Forward rates, Factor analysis and principal components; correspondence analysis, total positivity, Geometry and Topology, totally positive matrices
Forward rates, Correlation matrices, Principal Component Analysis, Total Positivity, Eigenvalues, singular values, and eigenvectors, Correlation matrices, principal component analysis, Principal component analysis, Principal component analysi, Forward rate, Finance etc., 510, Total positivity, Positive matrices and their generalizations; cones of matrices, Discrete Mathematics and Combinatorics, correlation matrices, Numerical Analysis, Correlation matrice, Algebra and Number Theory, Measures of association (correlation, canonical correlation, etc.), eigenvalues, forward rates, Forward rates, Factor analysis and principal components; correspondence analysis, total positivity, Geometry and Topology, totally positive matrices
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