The Monte Carlo method to find eigenvalues and eigenvectors

In this paper we apply the Monte Carlo method to find the eigenvalues and the eigenvectors of a k-symmetric matrix A. At first we add to the main diagonal of A a real number large enough to obtain a covariance matrix B and we take into account that the minimum sum of the squares in the principal components regression (PCR) is given by the corresponding eigenvector of the minimum eigenvalue of B.

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Year of publication:	2008-01
Authors:	Ciuiu, Daniel ; Costinescu, Cristian
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Principal components regression \| the Monte Carlo method \| eigenvalues \| eigenvectors

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C51 - Model Construction and Estimation ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005042726