Geodesic
Decomposition of an updated correlation matrix via hyperbolic transformations
Applications of Mathematics, Tome 47 (2002) no. 2, pp. 101-113
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An algorithm for hyperbolic singular value decomposition of a given complex matrix based on hyperbolic Householder and Givens transformation matrices is described in detail. The main application of this algorithm is the decomposition of an updated correlation matrix.
An algorithm for hyperbolic singular value decomposition of a given complex matrix based on hyperbolic Householder and Givens transformation matrices is described in detail. The main application of this algorithm is the decomposition of an updated correlation matrix.
DOI : 10.1023/A:1021729017319
Classification : 65F25, 65F30
Keywords: eigensystem of a correlation matrix; hyperbolic transformations; hyperbolic Householder transformation; hyperbolic Givens transformation; hyperbolic singular value decomposition 
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     title = {Decomposition of an updated correlation matrix via hyperbolic transformations},
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Janovská, Drahoslava. Decomposition of an updated correlation matrix via hyperbolic transformations. Applications of Mathematics, Tome 47 (2002) no. 2, pp. 101-113. doi: 10.1023/A:1021729017319

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