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Optimal Bounds for the Largest Eigenvalue of a 3 × 3 Correlation Matrix
Swiss Mathematical Society, Fribourg, Switzerland
- 1 Swiss Mathematical Society, Fribourg, Switzerland
Advances in Pure Mathematics·Volume 05 (2015)·Pages 395–402·Published 29 May 2015·DOI10.4236/apm.2015.57039
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Abstract
A new approach that bounds the largest eigenvalue of 3 × 3 correlation matrices is presented. Optimal bounds by given determinant and trace of the squared correlation matrix are derived and shown to be more stringent than the optimal bounds by Wolkowicz and Styan in specific cases.
KeywordsCorrelation MatrixPositive Semi-Definite MatrixExtreme PointEigenvalueInequality
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