Accurate and fast computations with positive extended Schoenmakers–Coffey matrices
Jorge Delgado, Guillermo Peña, Juan Manuel Peña · Numerical Linear Algebra with Applications · 2016
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.