JSTOR Daily

The Eigenvalues of the Empirical Transition Matrix of a Markov Chain

Journal of Applied Probability, Vol. 41, Stochastic Methods and Their Applications (2004), pp. 347-360 (14 pages) This paper investigates the probabilistic behaviour of the eigenvalue of the empirical ...
Santa Clara University

Melman, Aaron

M.Sc. in Applied Mathematics, Technion (Israel Institute of Technology) Ph.D. in Applied Mathematics, Caltech (California Institute of Technology) [1] A. Melman (2023): “Matrices whose eigenvalues are ...
JSTOR Daily

STRONG LIMIT OF THE EXTREME EIGENVALUES OF A SYMMETRIZED AUTO-CROSS COVARIANCE MATRIX

This is a preview. Log in through your library . Abstract The auto-cross covariance matrix is defined as $\mathbf{M}_n=\frac{1} {2T}\sum_{j=1}^T\bigl(\mathbf{e}_j ...
Simon Fraser University

EIGVAL Function

where A is a square numeric matrix. The EIGVAL function returns a column vector of the eigenvalues of A. See the description of the EIGEN subroutine for more details. The following code computes ...
Simon Fraser University

Computational Problems

Analyzing a covariance matrix including high variances in the diagonal and using bad initial estimates for the parameters can easily lead to arithmetic overflows in the first iterations of the ...