This problem is known as order determination, and amounts to estimating the rank of a matrix. Previous order-determination procedures rely either on the decreasing pattern, or elbow, of the ...

This article presents a from-scratch C# implementation of the first technique: compute eigenvalues and eigenvectors from the covariance matrix. If you're not familiar with PCA, most of the terminology ...

Paul A. White, The Computation of Eigenvalues and Eigenvectors of a Matrix, Journal of the Society for Industrial and Applied Mathematics, Vol. 6, No. 4 (Dec., 1958), pp. 393-437 ...

Eigenvalues and Eigenvectors: A basic knowledge of eigenvalues and eigenvectors of matrices, coupled with an ability to perform matrix-vector multiplication. Systems of First Order Linear Differential ...

Let be the eigenvalues and the normalized eigenvectors of T, i.e. We consider the inverse problem: Determine from and . It is well known that this problem can easily be solved by the Lanczos method.

In this paper, the eigendecomposition of a Toeplitz matrix populated by an exponential function in order to model empirical correlations of US equity returns is investigated. The closed-form ...