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