The Monte Carlo method to find eigenvalues and eigenvectors
Daniel Ciuiu, Cristian Costinescu · Munich Personal RePEc Archive (Ludwig Maximilian University of Munich) · 2008
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.