Eigenvalue-eigenvector analysis for a class of patterned correlation matrices with an application

Samuel Kotz*, W.l. Pearn, Dean W. Wichern

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

10 Scopus citations

Abstract

General forms for the eigenvalues and eigenvectors of certain patterned correlation matrices are obtained. The pattern considered is one in which the correlation matrix consists of submatrices containing powers of a single correlation coefficient p. The results are discussed in the context of a principal component analysis (or a factor analysis) of observations on a random vector X.

Original languageEnglish
Pages (from-to)119-125
Number of pages7
JournalStatistics and Probability Letters
Volume2
Issue number3
DOIs
StatePublished - 1 Jan 1984

Keywords

  • correlation matrix
  • eigenvalues
  • eigenvectors
  • factor analysis
  • principal component analysis

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