Using Random Matrix Theory one can derive exact relations between the eigenvalue spectrum of the covariance matrix and the eigenvalue spectrum of its estimator (experimentally measured correlation matrix). These relations will be used to analyze a particular case of the correlations in financial ser
✦ LIBER ✦
Non-stationary correlation matrices and noise
✍ Scribed by André C.R. Martins
- Publisher
- Elsevier Science
- Year
- 2007
- Tongue
- English
- Weight
- 166 KB
- Volume
- 379
- Category
- Article
- ISSN
- 0378-4371
No coin nor oath required. For personal study only.
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