ROM Simulation with 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:	2011-06
Authors:	Ledermann, Daniel
Institutions:	Henley Business School, University of Reading
Subject:	Computational efficiency \| L matrices \| Ledermann matrix \| Random Orthogonal Matrix (ROM) \| Rotation matrix \| Simulation

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Extent:	application/pdf
Series:	ICMA Centre Discussion Papers in Finance.
Type of publication:	Book / Working Paper
Notes:	Number icma-dp2011-06
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011206321