Parthasarathy, K. R. (2002) On extremal correlations Journal of Statistical Planning and Inference, 103 (1-2). pp. 173-180. ISSN 0378-3758
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Official URL: http://linkinghub.elsevier.com/retrieve/pii/S03783...
Related URL: http://dx.doi.org/10.1016/S0378-3758(01)00219-1
Abstract
A complete and simple parametrization of the set of extremal elements in the convex set of all correlation matrices of order n is presented. The set Enk of extremal elements of rank k and order n is nonempty if and only if k(k+1)≤2n. Modulo the symmetric group Sn-action, it is shown that Enk has an 'algebraic bundle structure'.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Elsevier Science. |
| Keywords: | Correlation Matrix; Convex Set and Extreme Points; Positive Semidefinite |
| ID Code: | 36223 |
| Deposited On: | 25 May 2011 13:36 |
| Last Modified: | 25 May 2011 13:36 |
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