Eigenvalues and Eigenvectors of Correlation Matrices with Special Structures: Applications to Factor Analysis of Common Stock Rates of Return.

Abstract

The authors derive the general forms for the eigenvalues and eigenvectors of certain correlation matrices with special structures. Our inquiry was motivated by an analysis of the rates of return on common stocks. Stocks within certain groups (for example, stocks within the same industry) may be equally correlated and the correlations between stocks in different groups, although equal, may be smaller in magnitude than the within group correlations.

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Document Details

Document Type
Technical Report
Publication Date
Aug 01, 1983
Accession Number
ADA131821

Entities

People

  • Dean W. Wichern
  • Samuel Kotz
  • W. L. Pearn

Organizations

  • University of Maryland

Tags

Communities of Interest

  • C4I
  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Coefficients
  • Contracts
  • Contrast
  • Differential Equations
  • Eigenvalues
  • Eigenvectors
  • Equations
  • Factor Analysis
  • Maryland
  • Military Research
  • Orthogonality
  • Quadratic Equations
  • Trade Associations
  • Universities

Readers

  • Calculus or Mathematical Analysis
  • Economics
  • Psychometric Testing or Psychological Assessment.