Geodesic distance calculation

MonteCarlo

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Joined
Jun 24, 2021
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1
Respected Members,
I am trying to calculate the geodesic distance from two matrices. I am stuck on eigenvalues calculation and I don't understand how to go for further calculations. Please I need help in this regard. I have explained in an excel sheet.
Empirical Correlation Matrix (S)
CA1CA2CA3EA1EA2EA3
CA1
1​
0.615​
0.468​
0.36​
0.239​
0.246​
CA2
0.615​
1​
0.582​
0.287​
0.216​
0.222​
CA3
0.468​
0.582​
1​
0.337​
0.235​
0.231​
EA1
0.36​
0.287​
0.337​
1​
0.525​
0.408​
EA2
0.239​
0.216​
0.235​
0.525​
1​
0.506​
EA3
0.246​
0.222​
0.231​
0.408​
0.506​
1​

Model Implied Correlation Matrix (Σ)
CA1CA2CA3EA1EA2EA3
CA1
1​
0.722​
0.684​
0.287​
0.274​
0.254​
CA2
0.722​
1​
0.702​
0.294​
0.281​
0.261​
CA3
0.684​
0.702​
1​
0.278​
0.266​
0.247​
EA1
0.287​
0.294​
0.278​
1​
0.689​
0.64​
EA2
0.274​
0.281​
0.266​
0.689​
1​
0.611​
EA3
0.254​
0.261​
0.247​
0.64​
0.611​
1​

Answer is: 0.078 where K= 6

1624534352990.png


1624534446721.png
1.741​
-0.853​
-0.206​
-0.283​
0.005​
-0.078​
-0.853​
1.961​
-0.732​
0.032​
-0.039​
-0.049​
-0.206​
-0.732​
1.617​
-0.224​
-0.027​
-0.055​
-0.283​
0.032​
-0.224​
1.575​
-0.600​
-0.225​
0.005​
-0.039​
-0.027​
-0.600​
1.610​
-0.556​
-0.078​
-0.049​
-0.055​
-0.225​
-0.556​
1.416​

1624534459941.png
0.884433​
0.156895​
0.289292​
-0.13831​
-0.05556​
-0.08783​
0.047615​
0.816557​
0.04711​
0.101307​
0.074961​
0.061223​
0.285894​
0.166535​
0.879174​
-0.10278​
-0.04719​
-0.05913​
-0.18269​
-0.09388​
-0.17242​
0.883616​
0.219875​
0.297779​
0.085595​
0.076014​
0.072699​
0.135974​
0.840039​
0.028009​
-0.00896​
0.0025​
-0.00415​
0.245958​
0.10416​
0.886007​


I dont know how to further calculate value.
Your help will be life saving for me.
 
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