Search Results - subject:"L matrices"

Targeting Kollo skewness with random orthogonal matrix simulation

Alexander, Carol; Meng, Xiaochun; Wei, Wei - In: European journal of operational research : EJOR 299 (2022) 1, pp. 362-376

Persistent link: https://www.econbiz.de/10013206991

ROM Simulation with Rotation Matrices

Ledermann, Daniel - Henley Business School, University of Reading - 2011

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...

Persistent link: https://www.econbiz.de/10011206321

Exact Moment Simulation using Random Orthogonal Matrices

Alexander, Carol; Ledermann, Walter; Ledermann, Daniel - Henley Business School, University of Reading - 2009

kurtosis. A new class of rectangular orthogonal matrices is fundamental to the methodology, and these ``L-matrices'' can be …

Persistent link: https://www.econbiz.de/10008542371