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A note on infinite extreme correlation matrices

✍ Scribed by J. Kiukas; J.-P. Pellonpää

Publisher: Elsevier Science
Year: 2008
Tongue: English
Weight: 127 KB
Volume: 428
Category: Article
ISSN: 0024-3795
DOI: 10.1016/j.laa.2007.12.001

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✦ Synopsis

We give a characterization for the extreme points of the convex set of correlation matrices with a countable index set. A Hermitian matrix is called a correlation matrix if it is positive semidefinite with unit diagonal entries. Using the characterization, we show that there exist extreme points of any rank.

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