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The Monte Carlo method to find eigenvalues and eigenvectors

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Author Info
Ciuiu, Daniel
Costinescu, Cristian

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Abstract

In this paper we apply the Monte Carlo method to find the eigenvalues and the eigenvectors of a k-symmetric matrix A. At first we add to the main diagonal of A a real number large enough to obtain a covariance matrix B and we take into account that the minimum sum of the squares in the principal components regression (PCR) is given by the corresponding eigenvector of the minimum eigenvalue of B.

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File URL: http://mpra.ub.uni-muenchen.de/15362/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 15362.

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Date of creation: Jan 2008
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Handle: RePEc:pra:mprapa:15362

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Related research
Keywords: Principal components regression; the Monte Carlo method; eigenvalues; eigenvectors;

Find related papers by JEL classification:
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods

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