Eigenvalue Decomposition

Simo Puntanen (), George P. H. Styan () and Jarkko Isotalo ()
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Simo Puntanen: University of Tampere, School of Information Sciences
George P. H. Styan: McGill University, Department of Mathematics & Statistics
Jarkko Isotalo: University of Tampere, School of Information Sciences

Chapter Chapter 18 in Matrix Tricks for Linear Statistical Models, 2011, pp 357-390 from Springer

Abstract: Abstract There is no way to survive in the middle of statistical considerations without being pretty well aware of the main properties of the eigenvalues and eigenvectors. This chapter provides a summary of some central results.

Keywords: Covariance Matrix; Random Vector; Canonical Correlation; Generalize Inverse; Nonzero Eigenvalue (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/978-3-642-10473-2_19

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