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A note on infinite extreme correlation matrices

J. Kiukas·J. -P. Pellonpää
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Abstract

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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BibTeXRIS

J. Kiukas, J. -P. Pellonpää. 2006-12-19. A note on infinite extreme correlation matrices. https://doi.org/10.1016/j.laa.2007.12.001

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