This is a preview. Log in through your library . Abstract The minimum chi-squared test is obtained for testing the hypothesis that the smallest r eigenvalues of an m × m correlation matrix are equal, ...

For a covariance or correlation matrix, the sum of its eigenvalues equals the trace of the matrix, that is, the sum of the variances of the n y variables for a covariance matrix, and n y for a ...

We examined the ability of eigenvalue tests to distinguish field-collected from random, assemblage structure data sets. Eight published time series of species abundances were used in the analysis, ...

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 ...

The purpose of principal component analysis is to derive a small number of independent linear combinations (principal components) of a set of variables that retain as much of the information in the ...

Harry Markowitz famously quipped that diversification is the only free lunch in investing. What he did not say is that this is only true if correlations are known and stable over time. Markowitz’s ...