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.

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Year of publication:	1984
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
Publisher:	Elsevier
Keywords:	correlation matrix eigenvalues eigenvectors factor analysis principal component analysis

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005254893