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characteristic root

   Also found in: Wikipedia 0.01 sec.
characteristic root [‚kar·ik·tə′ris·tik ′rüt]
(mathematics)


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Johansen Cointegration Test The Johansen 1988 method relies on the relationship between the rank of a matrix and its characteristic roots (or eigenvalues).
The proportion of variation attributed to a particular principal component is obtained by dividing the associated characteristic root by the sum of all the characteristic roots.
 
 
 
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