Mittwoch, 10. November 2021, 16:45 - 17:45 iCal

ISOR Colloquium

"New results about Correlation Matrices"

Speaker: Peter R. Hansen (University of North Carolina at Chapel Hill)

HS 12 OMP1 (#2.505)
Oskar-Morgenstern-Platz 1, 1090 Wien


We obtain a canonical representation for block matrices. The representation facilitates simple computation of the determinant, the matrix inverse, and other powers of a block matrix, as well as the matrix logarithm and the matrix exponential. These results are particularly useful for block covariance and block correlation matrices, where evaluation of the Gaussian log-likelihood and estimation are greatly simplified. We illustrate this with an empirical application using a large panel of daily asset returns. Moreover, the representation paves new ways to regularizing large covariance/correlation matrices and to test block structures in matrices.

Talk based on the following preprint:


The talk also can be joined online via ZOOM:

Meeting room opens at: November 10, 2021 4.30 pm Vienna

Meeting ID: 923 5578 3757

Password: 383975

Zur Webseite der Veranstaltung


Institut für Statistik und Operations Research


Sabine Sobotka-Tompits, BA
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38631