Can anyone suggest some references for learning as much as possible (and in detail!) about correlation matrixes?

In particular, would be great to have (among others) covered:

  • algebraic and statistical properties
  • matrix factorization
  • estimation

Unfortunately, I could not find any comprehensive source that treats all these topics (sort of "from zero to hero in correlation matrixes").



Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Browse other questions tagged or ask your own question.