ROM Simulation with Random Rotation Matrices

This paper explores the properties of random orthogonal matrix (ROM) simulation when the random matrix is drawn from the class of rotational matrices. We describe the characteristics of ROM simulated samples that are generated using random Hessenberg, Cayley and exponential matrices and compare the computational efficiency of parametric ROM simulations with standard Monte Carlo techniques

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Year of publication:	2011
Authors:	Ledermann, Dan
Other Persons:	Alexander, Carol (contributor)
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Simulation \| Theorie \| Theory

Extent:	1 Online-Ressource (21 p)
Series:	ICMA Centre Discussion Papers in Finance ; No. DP2011-06
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 8, 2011 erstellt
Other identifiers:	10.2139/ssrn.1805662 [DOI]
Classification:	C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C63 - Computational Techniques
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013127392