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Problemy Peredachi Informatsii, 1969, Volume 5, Issue 4, Pages 28–37
(Mi ppi1819)
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On the Eigenvalues of Correlation Matrices
A. L. Genis
Abstract:
We obtain upper and lower bounds for the maximum eigenvalue of the matrix $C_{n=1}(F)=\|c_{p,q};\,p,q=0,1,\dots,n\|$, with elements of the form
$$
c_{p,q}=c_{p-q}=\int_0^{2\pi}\exp\{i(p-q)\lambda\}F(d\lambda),
$$
where $F(d\lambda)$ is the measure on the segment $[0,2\pi];$ for the sum of the $K<n+1$ largest eigenvalues we give an estimate for the number of eigenvalues with fixed sum. We give examples of the measure $F(d\lambda)$ to illustrate the equations obtained.
Received: 20.07.1967 Revised: 18.04.1968
Citation:
A. L. Genis, “On the Eigenvalues of Correlation Matrices”, Probl. Peredachi Inf., 5:4 (1969), 28–37; Problems Inform. Transmission, 5:4 (1969), 23–31
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https://www.mathnet.ru/eng/ppi1819 https://www.mathnet.ru/eng/ppi/v5/i4/p28
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Abstract page: | 452 | Full-text PDF : | 154 |
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