The generalized symmetric eigenproblem in multivariate statistical models

Multivariate Statistical Modelling Based on Generalized Linear Models

Bring home now the book enPDFd multivariate statistical modelling based on generalized linear models to be your sources when going to read. It can be your new collection to not only display in your racks but also be the one that can help you fining the best sources. As in common, book is the window to get in the world and you can open the world easily. These wise words are really familiar with ...

Iterative Methods for the Partial Symmetric Eigenproblem

Dynamic Correlations in Symmetric Multivariate SV Models

This paper proposes two types of stochastic correlation structures for Multivariate Stochastic Volatility (MSV) models, namely the constant correlation (CC) MSV and dynamic correlation (DC) MSV models, from which the stochastic covariance structures could be obtained easily. Both structures can be used for purposes of optimal portfolio and risk management, and for calculating Value-at-Risk (VaR...

Analysis of the Cholesky Method with Iterative Refinement for Solving the Symmetric Definite Generalized Eigenproblem

A standard method for solving the symmetric definite generalized eigenvalue problem Ax = λBx, where A is symmetric and B is symmetric positive definite, is to compute a Cholesky factorization B = LLT (optionally with complete pivoting) and solve the equivalent standard symmetric eigenvalue problem Cy = λy, where C = L−1AL−T . Provided that a stable eigensolver is used, standard error analysis s...

An Implicit Riemannian Trust-Region Method for the Symmetric Generalized Eigenproblem

The recently proposed Riemannian Trust-Region method can be applied to the problem of computing extreme eigenpairs of a matrix pencil, with strong global convergence and local convergence properties. This paper addresses inherent inefficiencies of an explicit trustregion mechanism. We propose a new algorithm, the Implicit Riemannian Trust-Region method for extreme eigenpair computation, which s...