Eigenvalue-eigenvector analysis for a class of patterned correlation matrices with an application
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.
Year of publication: |
1984
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Authors: | Kotz, Samuel ; Pearn, W. L. ; Wichern, Dean W. |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 2.1984, 3, p. 119-125
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Publisher: |
Elsevier |
Keywords: | correlation matrix eigenvalues eigenvectors factor analysis principal component analysis |
Saved in:
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