6533b85bfe1ef96bd12bbf5a
RESEARCH PRODUCT
Spectral density of the correlation matrix of factor models: a random matrix theory approach.
Rosario N. MantegnaFabrizio Lillosubject
CombinatoricsScatter matrixCentering matrixMatrix functionStatistical physicsMultivariate t-distributionNonnegative matrixFinance Commerce correlation matrixRandom matrixSquare matrixData matrix (multivariate statistics)Mathematicsdescription
We studied the eigenvalue spectral density of the correlation matrix of factor models of multivariate time series. By making use of the random matrix theory, we analytically quantified the effect of statistical uncertainty on the spectral density due to the finiteness of the sample. We considered a broad range of models, ranging from one-factor models to hierarchical multifactor models.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2005-07-28 | Physical review. E, Statistical, nonlinear, and soft matter physics |