Eigenvalue-eigenvector analysis for a class of patterned correlation matrices with an application

Samuel Kotz, W. L. Pearn and Dean W. Wichern

Statistics & Probability Letters, 1984, vol. 2, issue 3, 119-125

Abstract: General forms for the eigenvalues and eigenvectors of certain patterned correlation matrices are obtained. The pattern considered is one in which the correlation matrix consists of submatrices containing powers of a single correlation coefficient p. The results are discussed in the context of a principal component analysis (or a factor analysis) of observations on a random vector X.

Keywords: correlation; matrix; eigenvalues; eigenvectors; factor; analysis; principal; component; analysis (search for similar items in EconPapers)
Date: 1984
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Citations: View citations in EconPapers (2)

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