MonteCarlo
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- Jun 24, 2021
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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.
Answer is: 0.078 where K= 6
I dont know how to further calculate value.
Your help will be life saving for me.
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) | ||||||
CA1 | CA2 | CA3 | EA1 | EA2 | EA3 | |
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) | ||||||
CA1 | CA2 | CA3 | EA1 | EA2 | EA3 | |
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
| -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 |
| 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.