The Monte Carlo method to find eigenvalues and eigenvectors

Ciuiu, Daniel and Costinescu, Cristian (2008): The Monte Carlo method to find eigenvalues and eigenvectors. Published in: Proceedings of International Conference Trends and Challenges in Applied Mathematics (2008): pp. 157-160.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Principal components regression, the Monte Carlo method, eigenvalues, eigenvectors
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General

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