2016
DOI: 10.1002/nla.2066
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Accurate and fast computations with positive extended Schoenmakers–Coffey matrices

Abstract: Summary Schoenmakers–Coffey matrices are correlation matrices with important financial applications. Several characterizations of positive extended Schoenmakers–Coffey matrices are presented. This paper provides an accurate and fast method to obtain the bidiagonal decomposition of the conversion of these matrices, which in turn can be used to compute with high relative accuracy the eigenvalues and inverses of positive extended Schoenmakers–Coffey matrices. Numerical examples are included.

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Cited by 8 publications
(10 citation statements)
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“…Finally, we compute the solution of the linear system by using the algorithm TNSolve of P. Koev, by previously computing B = BD(A) by means of the algorithm TNCauchyBD of P. Koev, with the instruction B = TNCauchyBD(x,y), by defining x = [0,1,2,3,4,5,6] and y = [1,2,3,4,5,6,7]. In this case the relative error is 1.4e − 16, which again confirms the high relative accuracy to be expected of this algorithm when f has an alternating sign pattern.…”
Section: Bidiagonal Factorization and Neville Eliminationmentioning
confidence: 99%
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“…Finally, we compute the solution of the linear system by using the algorithm TNSolve of P. Koev, by previously computing B = BD(A) by means of the algorithm TNCauchyBD of P. Koev, with the instruction B = TNCauchyBD(x,y), by defining x = [0,1,2,3,4,5,6] and y = [1,2,3,4,5,6,7]. In this case the relative error is 1.4e − 16, which again confirms the high relative accuracy to be expected of this algorithm when f has an alternating sign pattern.…”
Section: Bidiagonal Factorization and Neville Eliminationmentioning
confidence: 99%
“…We can compute B = BD(A) by means of the algorithm TNCauchyBD of P. Koev, with the instruction B = TNCauchyBD(x,y), by defining x = [0, 1, 2, 3, 4, 5, 6, 7, 8, 9], y = [1,2,3,4,5,6,7,8,9,10] (P. Koev is using as entries of the Cauchy matrix c ij = 1/(x i + y j )). Then the eigenvalues are computed by means of the instruction TNEigenvalues(B).…”
Section: Eigenvalue and Singular Value Problemsmentioning
confidence: 99%
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“…Among them, first we mention here some few subclasses of nonsingular TP matrices and matrices related with them. For instance, for Generalized Vandermonde matrices [9], for Bernstein-Vandermonde matrices [10][11][12], for Said-Ball-Vandermonde matrices [13], for Cauchy-Vandermonde matrices [14], for Schoenmakers-Coffey matrices [15], for h-Bernstein-Vandermonde matrices [16] or for tridiagonal Toeplitz matrices [17], and much more subclasses of TP matrices. HRA algorithms for some algebraic problems related with other class of matrices have also been developed.…”
Section: Introductionmentioning
confidence: 99%
“…other works), finance (cf. the work of Delgado et al), or combinatorics (cf. the work of Delgado et al).…”
Section: Introductionmentioning
confidence: 99%