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

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Ciuiu, Daniel and Costinescu, Cristian (2008): The Monte Carlo method to find eigenvalues and eigenvectors. Published in: Proceedings of International Conference Trends and Challenges in Applied Mathematics (2008): pp. 157-160.
Classification:	C51 - Model Construction and Estimation ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	BASE

Persistent link: https://www.econbiz.de/10015216949