Reformulation of Direct Minimum/Maximum Autocorrelation Factors as a Generalised Eigenvalue Problem

Authors

Ellen Bandarian, Edith Cowan University
Ute Mueller, Edith Cowan UniversityFollow

Document Type

Conference Proceeding

Faculty

Faculty of Computing, Health and Science

School

School of Engineering

RAS ID

5928

Comments

Bandarian, E., & Mueller, U. (2008). Reformulation of direct minimum/maximum autocorrelation factors as a generalised Eigenvalue problem.

Abstract

Under the assumption of a two structure linear model of coregionalisation minimum/maximum autocorrelation factors (MAF) and direct minimum/maximum autocorrelation factors (DMAF) are linear transformation methods that decorrelate a set of attributes into uncorrelated factors for all lags. The usual procedure for determining the MAF/DMAF transformation matrix is via two successive principal component analyses. In this paper the MAF/DMAF transformation is reformulated and presented in a mathematically more tractable manner as the solution to the symmetric definite generalised eigenvalue problem. This elucidates the process underlying the transformation, that is, the simultaneous diagonalisation of two matrices by congruence.