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Signal and noise in correlation matrix

✍ Scribed by Z. Burda; A. Görlich; A. Jarosz; J. Jurkiewicz

Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
402 KB
Volume
343
Category
Article
ISSN
0378-4371

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✦ Synopsis

Using random matrix technique we determine an exact relation between the eigenvalue spectrum of the covariance matrix and of its estimator. This relation can be used in practice to compute eigenvalue invariants of the covariance (correlation) matrix. Results can be applied in various problems where one experimentally estimates correlations in a system with many degrees of freedom, like for instance those in statistical physics, lattice measurements of ÿeld theory, genetics, quantitative ÿnance and other applications of multivariate statistics.

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