The Spectral Decomposition of Covariance Matrices for the Variance Components Models

Shi Jian-Hong and Wang Song-Gui

Journal of Multivariate Analysis, 2006, vol. 97, issue 10, 2190-2205

Abstract: The aim of this paper is to propose a simple method to determine the number of distinct eigenvalues and the spectral decomposition of covariance matrix for a variance components model. The method introduced in this paper is based on a partial ordering of symmetric matrix and relation matrix. A method is also given for checking straightforwardly whether these distinct eigenvalues are linear dependent as functions of variance components. Some examples and applications to illustrate the results are presented.

Keywords: Spectral; decomposition; Variance; component; Partial; ordering (search for similar items in EconPapers)
Date: 2006
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