The Monte Carlo method to find eigenvalues and eigenvectors

Daniel Ciuiu and Cristian Costinescu

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper we apply the Monte Carlo method to find the eigenvalues and the eigenvectors of a k-symmetric matrix A. At first we add to the main diagonal of A a real number large enough to obtain a covariance matrix B and we take into account that the minimum sum of the squares in the principal components regression (PCR) is given by the corresponding eigenvector of the minimum eigenvalue of B.

Keywords: Principal components regression; the Monte Carlo method; eigenvalues; eigenvectors (search for similar items in EconPapers)
JEL-codes: C15 C51 (search for similar items in EconPapers)
Date: 2008-01
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Citations: View citations in EconPapers (1)

Published in Proceedings of International Conference Trends and Challenges in Applied Mathematics (2008): pp. 157-160

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:15362

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