Accurate and fast computations with positive extended Schoenmakers–Coffey matrices

Delgado, J. (Universidad de Zaragoza) ; Peña, G. (Universidad de Zaragoza) ; Peña, J.M. (Universidad de Zaragoza)

Resumen: 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.

Idioma: Inglés

DOI: 10.1002/nla.2066

Año: 2016

Publicado en: NUMERICAL LINEAR ALGEBRA WITH APPLICATIONS 23, 6 (2016), 1023-1031
ISSN: 1070-5325

Factor impacto JCR: 1.303 (2016)

Categ. JCR: MATHEMATICS rank: 33 / 310 = 0.106 (2016) - Q1 - T1
Categ. JCR: MATHEMATICS, APPLIED rank: 70 / 255 = 0.275 (2016) - Q2 - T1

Factor impacto SCIMAGO: 1.29 - Applied Mathematics (Q1) - Algebra and Number Theory (Q1)

Financiación: info:eu-repo/grantAgreement/ES/MICINN/MTM2015-65433-P

Tipo y forma: Artículo (PostPrint)

Área (Departamento): Área Matemática Aplicada (Dpto. Matemática Aplicada)
Área (Departamento): Área Economía Aplicada (Dpto. Estruc.Hª Econ.y Eco.Pb.)