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Decomposition of an Updated Correlation Matrix via Hyperbolic Transformations

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Abstract

An algorithm for hyperbolic singular value decomposition of a given complex matrix based on hyperbolic Householder and Givens transformation matrices is described in detail. The main application of this algorithm is the decomposition of an updated correlation matrix.

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Authors and Affiliations

  1. Department of Mathematics, Prague Institute of Chemical Technology, Technicka 5, 166 28, Prague 6, Czech Republic

    Drahoslava Janovska

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  1. Drahoslava Janovska
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Janovska, D. Decomposition of an Updated Correlation Matrix via Hyperbolic Transformations. Applications of Mathematics 47, 101–113 (2002). https://doi.org/10.1023/A:1021729017319

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