Search Results - subject:"Rotation matrix"

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

Independent component analysis via copula techniques

Chen, Ray-Bing; Guo, Meihui; Härdle, Wolfgang Karl; … - 2008

Independent component analysis (ICA) is a modern factor analysis tool developed in the last two decades. Given p-dimensional data, we search for that linear combination of data which creates (almost) independent components. Here copulae are used to model the p-dimensional data and then...

Persistent link: https://www.econbiz.de/10010274138

Independent Component Analysis Via Copula Techniques

Chen, Ray-Bing; Guo, Meihui; Härdle, Wolfgang; Huang, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

(flij) is a p-dimensional Givens rotation matrix which represents a rotation in the plan spanned by the axes xi and xj, i < j …=2. 3. Choose d copulae and deflne the objective function, O( 1;:::; d). 4. Apply SA algorithm to flnd the rotation matrix R … the advantages of this method. Key words: Blind source separation, Canonical maximum likelihood method, Givens rotation …

Persistent link: https://www.econbiz.de/10005677950