ROM Simulation with Rotation Matrices

Daniel Ledermann

ICMA Centre Discussion Papers in Finance from Henley Business School, University of Reading

Abstract: 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.

Keywords: Computational efficiency; L matrices; Ledermann matrix; Random Orthogonal Matrix (ROM); Rotation matrix; Simulation (search for similar items in EconPapers)
Date: 2011-06
New Economics Papers: this item is included in nep-cmp and nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:rdg:icmadp:icma-dp2011-06

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