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Accurate and fast computations with positive extended Schoenmakers-Coffey matrices. (English) Zbl 1424.65020
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.

MSC:
65F05 Direct numerical methods for linear systems and matrix inversion
65F15 Numerical computation of eigenvalues and eigenvectors of matrices
15B48 Positive matrices and their generalizations; cones of matrices
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