Accession Number : ADA131821

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

Descriptive Note : Technical rept.,

Corporate Author : MARYLAND UNIV COLLEGE PARK DEPT OF MANAGEMENT SCIENCES AND STATISTICS

Personal Author(s) : Kotz,Samuel ; Pearn,W L ; Wichern,Dean W

PDF Url : ADA131821

Report Date : Aug 1983

Pagination or Media Count : 22

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.

Descriptors :   *Correlation techniques, *Matrices(Mathematics), *Investments, Rates, Industries, Eigenvectors, Eigenvalues, Factor analysis, Variables, Equations

Subject Categories : Economics and Cost Analysis
      Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE