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Keywords:
eigensystem of a correlation matrix; hyperbolic transformations; hyperbolic Householder transformation; hyperbolic Givens transformation; hyperbolic singular value decomposition
eigensystem of a correlation matrix; hyperbolic transformations; hyperbolic Householder transformation; hyperbolic Givens transformation; hyperbolic singular value decomposition
Summary:
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.
References:
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