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.
|Number of pages||8|
|Journal||Linear Algebra and Its Applications|
|Early online date||24 Jan 2008|
|Publication status||Published - 01 Jun 2008|
- Extreme point
- Infinite correlation matrix