Finding initial values for time-varying joint diagonalization
Gen Hori, Toshihisa Tanaka · 2010
A novel method termed differential joint diagonalization (DJD) is introduced to find good initial values for joint diagonalization of time-varying correlation matrices. A key point of the method is finding a matrix which satisfies several conditions in the form of the matrix Riccati equation simultaneously. An alternate algorithm of differential joint diagonalization and joint diagonalization is proposed and shown by numerical simulation to outperform a standard joint diagonalization algorithm in tracking time-varying mixing models.