Covariance Matrix Effective Rank

v1.0.0

Compute the effective rank of an asset covariance matrix.

References

Input

{
  "required": [
    "assets",
    "assetsCovarianceMatrix"
  ],
  "properties": {
    "assets": {
      "type": "integer",
      "description": "The number of assets"
    },
    "assetsCovarianceMatrix": {
      "type": "array",
      "description": "assetsCovarianceMatrix[i][j] is the covariance between the asset i and the asset j",
      "items": {
        "type": "array",
        "items": {
          "type": "number"
        }
      }
    }
  }
}

Output

{
  "type": "object",
  "required": [
    "assetsCovarianceMatrixEffectiveRank"
  ],
  "properties": {
    "assetsCovarianceMatrixEffectiveRank": {
      "type": "array",
      "description": "The effective rank of the asset covariance matrix",
      "items": {
        "type": "array",
        "items": {
          "type": "number"
        }
      }
    }
  }
}